Enhancing credit default swap valuation with meshfree methods
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- 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
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KeywordsRadial basis function interpolation Finite difference methods Default intensity;
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