Work

Four-factor model of Quanto CDS with jumps-at-default and stochastic recovery

Year: 2021

Type: article

Source: Journal of Computational Science

DOI: 10.1016/j.jocs.2021.101434

Authors: Andrey Itkin, Fazlollah Soleymani

Institutions: New York University, Institute for Advanced Studies in Basic Sciences

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2995376225

FWCI: 2.4

Cites: 45

Cited by: 18

Related to: 10