"Discrete Tenor Models for Credit Risky Portfolios Driven by ..."

Ernst Eberlein, Zorana Grbac, Thorsten Schmidt (2013)

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DOI: 10.1137/110827132

access: closed

type: Journal Article

metadata version: 2020-10-26

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Ernst Eberlein, Zorana Grbac, Thorsten Schmidt:
Discrete Tenor Models for Credit Risky Portfolios Driven by Time-Inhomogeneous Lévy Processes. SIAM J. Financial Math. 4(1): 616-649 (2013)

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