Multiscale intensity models and name grouping for valuation of multi-name credit derivatives

Applied Mathematical Finance

Volumn 16, Issue 4, 2009, Pages 353-383

  Papageorgiou, Evan ^a   Sircar, Ronnie ^b  

^a CITIGROUP   (United States)

^b Princeton University   (United States)

Author keywords

asymptotic approximation; bottom up; Collateralized debt obligations; homogeneous group factor models; intensity based model; multiple time scales; stochastic volatility; top down

Indexed keywords

EID: 70449603332     PISSN: 1350486X     EISSN: 14664313     Source Type: Journal    
DOI: 10.1080/13504860902765545     Document Type: Article

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