Multiscale intensity models for single name credit derivatives

Applied Mathematical Finance

Volumn 15, Issue 1, 2008, Pages 73-105

  Papageorgiou, E ^a   Sircar, R ^a  

^a Princeton University   (United States)

Author keywords

Asymptotic approximation; Credit default swap; Defaultable bond; Defaultable bond option; Time scales

Indexed keywords

EID: 41149127313     PISSN: 1350486X     EISSN: 14664313     Source Type: Journal    
DOI: 10.1080/13504860701352222     Document Type: Article

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