Please use this identifier to cite or link to this item:
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 |
Items in BURA are protected by copyright, with all rights reserved, unless otherwise indicated.