A DYNAMIC APPROACH TO THE MODELING OF CORRELATION CREDIT DERIVATIVES USING MARKOV CHAINS.
| Autor: | DI GRAZIANO, GIUSEPPE1 giuseppe.di-graziano@db.com, ROGERS, L. C. G.2 L.C.G.Rogers@statslab.cam.ac.uk |
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| Zdroj: | International Journal of Theoretical & Applied Finance. Feb2009, Vol. 12 Issue 1, p45-62. 18p. 9 Charts, 3 Graphs. |
| Databáze: | Business Source Ultimate |
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