Open AccessPricing credit default swaps under Lévy models
Author(s) -
Jessica Cariboni,
Wim Schoutens
Publication year - 2007
Publication title -
the journal of computational finance
Language(s) - Uncategorized
Resource type - Journals
SCImago Journal Rank - 0.677
H-Index - 14
eISSN - 1755-2850
pISSN - 1460-1559
DOI - 10.21314/jcf.2007.172
Subject(s) - geometric brownian motion , default , econometrics , credit default swap , kurtosis , asset (computer security) , lévy process , jump , economics , log normal distribution , financial economics , credit risk , mathematics , computer science , actuarial science , finance , diffusion process , statistics , physics , economy , computer security , quantum mechanics , service (business)
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