Hedging of a credit default swaption in the CIR default intensity model

✍ Scribed by Tomasz R. Bielecki; Monique Jeanblanc; Marek Rutkowski

• Publisher: Springer-Verlag
• Year: 2010
• Tongue: English
• Weight: 974 KB
• Volume: 15
• Category: Article
• ISSN: 0949-2984
• DOI: 10.1007/s00780-010-0143-7