Multiscale Intensity Models and Name Grouping for Valuation of Multi-Name Credit Derivatives
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- Kazuki Nagashima & Tsz-Kin Chung & Keiichi Tanaka, 2014. "Asymptotic Expansion Formula of Option Price Under Multifactor Heston Model," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 21(4), pages 351-396, November.
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KeywordsCollateralized debt obligations; intensity-based model; stochastic volatility; asymptotic approximation; multiple time scales; homogeneous-group factor models; bottom-up; top-down;
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