Credit derivatives in an affine framework

Asia-Pacific Financial Markets

Volumn 14, Issue 1-2, 2007, Pages 123-140

  Chen, Li ^a   Filipović, Damir ^b  

^a Interest Rate Derivatives Trading   (United States)

^b Vienna Institute of Finance   (Austria)

Author keywords

Affine intensity based models; Counterparty risk; Credit derivatives; Default dependence

Indexed keywords

EID: 36649030009     PISSN: 13872834     EISSN: None     Source Type: Journal    
DOI: 10.1007/s10690-007-9055-8     Document Type: Article

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