Valuation of Portfolio Credit Derivatives with Default Intensities Using the Vasicek Model
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Volume (Year): 18 (2011)
Issue (Month): 1 (March)
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- Zhou, Chunsheng, 2001. "An Analysis of Default Correlations and Multiple Defaults," Review of Financial Studies, Society for Financial Studies, vol. 14(2), pages 555-76.
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- Tomasz Bielecki & Monique Jeanblanc & Marek Rutkowski, 2005. "PDE approach to valuation and hedging of credit derivatives," Quantitative Finance, Taylor & Francis Journals, vol. 5(3), pages 257-270.
- Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March.
- Mark B. Wise & Vineer Bhansali, 2008. "Correlated Random Walks and the Joint Survival Probability," Papers 0812.2000, arXiv.org.
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