PRICING CREDIT DERIVATIVES IN A MARKOV-MODULATED...

International Journal of Theoretical and Applied Finance 2013 / 06 Vol. 16; Iss. 4

PRICING CREDIT DERIVATIVES IN A MARKOV-MODULATED REDUCED-FORM MODEL

BANERJEE, TAMAL, GHOSH, MRINAL K., IYER, SRIKANTH K.
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Volume:
16
Language:
english
Journal:
International Journal of Theoretical and Applied Finance
DOI:
10.1142/S0219024913500180
Date:
June, 2013
File:
PDF, 626 KB
english, 2013
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