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"Modelling the evolution of credit spreads using the Cox process within the ..."

Carl Chiarella, Viviana Fanelli, Silvana Musti (2011)

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DOI: 10.1016/J.EJOR.2010.03.006

access: closed

type: Journal Article

metadata version: 2020-02-21

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Carl Chiarella, Viviana Fanelli, Silvana Musti:
Modelling the evolution of credit spreads using the Cox process within the HJM framework: A CDS option pricing model. Eur. J. Oper. Res. 208(2): 95-108 (2011)

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