Work

Candidate Market Models and the Calibrated Cir++ Stochastic Intensity Model for Credit Default Swap Options and Callable Floaters

Year: 2004

Type: preprint

Source: SSRN Electronic Journal

DOI: 10.2139/ssrn.508922

Author: Damiano Brigo

Institution: Imperial College London

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W91173593

Cites: 16

Cited by: 27

Related to: 10