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Modelling the evolution of credit spreads using the Cox process within the HJM framework: A CDS option pricing model.
Carl Chiarella
Viviana Fanelli
Silvana Musti
Published in:
Eur. J. Oper. Res. (2011)
Keyphrases
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probabilistic model
theoretical framework
decision model
decision making
long term
domain knowledge
option pricing
neural network
knowledge base
expert systems
probability distribution
knowledge discovery
information extraction