Fast valuation and calibration of credit default swaps under Lévy dynamics

Journal article (2010)

Authors

F Fang Old - EWI Sect. Numerical Analysis
HJ J'onsson External organisation
C.W. Oosterlee Numerical Analysis - EEMCS
W Schoutens External organisation
Research Group
Old - EWI Sect. Numerical Analysis
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Published Date

2010

Language

Undefined/Unknown

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Research Group

Old - EWI Sect. Numerical Analysis