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http://bura.brunel.ac.uk/handle/2438/20061Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Realdon, M | - |
| dc.date.accessioned | 2020-01-21T11:49:56Z | - |
| dc.date.available | 2019-02-01 | - |
| dc.date.available | 2020-01-21T11:49:56Z | - |
| dc.date.issued | 2017 | - |
| dc.identifier.citation | Realdon, M. (2019) 'Non-linear Gaussian sovereign CDS pricing models', Quantitative Finance, 19 (2), pp. 191-210. doi: 10.1080/14697688.2018.1459808. | en_US |
| dc.identifier.issn | 1469-7688 | - |
| dc.identifier.uri | https://bura.brunel.ac.uk/handle/2438/20061 | - |
| dc.format.extent | 191 - 210 | - |
| dc.format.medium | Print-Electronic | - |
| dc.language.iso | en | en_US |
| dc.publisher | Taylor & Francis | en_US |
| dc.subject | Sovereign CDS pricing | en_US |
| dc.subject | Discrete time quadratic model | en_US |
| dc.subject | Black model | en_US |
| dc.subject | Black–Karasinski model | en_US |
| dc.subject | Method of lines | en_US |
| dc.title | Non-linear Gaussian sovereign CDS pricing models | en_US |
| dc.type | Article | en_US |
| dc.identifier.doi | https://doi.org/10.1080/14697688.2018.1459808 | - |
| dc.relation.isPartOf | Quantitative Finance | - |
| pubs.issue | 2 | - |
| pubs.publication-status | Published | - |
| pubs.volume | 19 | - |
| dc.identifier.eissn | 1469-7696 | - |
| Appears in Collections: | Dept of Economics and Finance Research Papers | |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| FullText.pdf | 242.66 kB | Adobe PDF | View/Open |
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