Hedging of a credit default swaption in the CIR default intensity model.

Tomasz R. Bielecki Monique Jeanblanc Marek Rutkowski

Published in: Finance Stochastics (2011)

Keyphrases

high level
theoretical analysis
process model
mathematical model
data sets
information retrieval
probability distribution
computational model
formal model
artificial neural networks
theoretical framework
sensitivity analysis
credit card
financial data