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http://bura.brunel.ac.uk/handle/2438/20061| Title: | Non-linear Gaussian sovereign CDS pricing models |
| Authors: | Realdon, M |
| Keywords: | Sovereign CDS pricing;Discrete time quadratic model;Black model;Black–Karasinski model;Method of lines |
| Issue Date: | 2017 |
| Publisher: | Taylor & Francis |
| Citation: | Realdon, M. (2019) 'Non-linear Gaussian sovereign CDS pricing models', Quantitative Finance, 19 (2), pp. 191-210. doi: 10.1080/14697688.2018.1459808. |
| URI: | https://bura.brunel.ac.uk/handle/2438/20061 |
| DOI: | https://doi.org/10.1080/14697688.2018.1459808 |
| ISSN: | 1469-7688 |
| Appears in Collections: | Dept of Economics and Finance Research Papers |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| FullText.pdf | 242.66 kB | Adobe PDF | View/Open |
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