An empirical comparison of alternative credit default swap pricing models
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References listed on IDEAS
- Sergio Mayordomo & Juan Ignacio Peña & Eduardo S. Schwartz, 2010. "Are all Credit Default Swap Databases Equal?," NBER Working Papers 16590, National Bureau of Economic Research, Inc.
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More about this item
Keywordscredit default swap; Cox-Ingersoll-Ross; non-Gaussian Ornstein-Uhlenbeck processes; Lï¿½vy processes; Sato processes; filtering methods; unscented Kalman filter; particle filter;
- C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
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