Enhancing credit default swap valuation with meshfree methods
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- Kris Jacobs & Xiaofei Li, 2008. "Modeling the Dynamics of Credit Spreads with Stochastic Volatility," Management Science, INFORMS, vol. 54(6), pages 1176-1188, June.
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- repec:kap:compec:v:51:y:2018:i:3:d:10.1007_s10614-016-9608-x is not listed on IDEAS
- Mitra, Sovan & Date, Paresh & Mamon, Rogemar & Wang, I-Chieh, 2013. "Pricing and risk management of interest rate swaps," European Journal of Operational Research, Elsevier, vol. 228(1), pages 102-111.
- Guarin, Alexander & Liu, Xiaoquan & Ng, Wing Lon, 2014. "Recovering default risk from CDS spreads with a nonlinear filter," Journal of Economic Dynamics and Control, Elsevier, vol. 38(C), pages 87-104.
- repec:eee:apmaco:v:286:y:2016:i:c:p:29-40 is not listed on IDEAS
More about this item
KeywordsRadial basis function interpolation Finite difference methods Default intensity;
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