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- W142539911 abstract "The defaultable term structure is modeled using Gaussian random elds. The proposed models are shown to be free of arbitrage under certain drift conditions. We derive explicit pricing formulas for several credit derivatives. This leads to two calibration procedures, where the second one adjusts for scarcity of credit derivatives data. Also, we present a hedging example." @default.
- W142539911 created "2016-06-24" @default.
- W142539911 creator A5079269395 @default.
- W142539911 date "2004-01-01" @default.
- W142539911 modified "2023-09-24" @default.
- W142539911 title "Credit Risk Modeling with Gaussian Random Fields" @default.
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