Fast valuation and calibration of credit default swaps under Lévy dynamics

F Fang, HJ J'onsson, CW Oosterlee, W Schoutens

Research output: Contribution to journal › Article › Scientific › peer-review

Original language	Undefined/Unknown
Pages (from-to)	1-30
Number of pages	30
Journal	The Journal of Computational Finance
Volume	14
Issue number	2
Publication status	Published - 2010

Keywords

@article{9205eca0e7504c36b9da1240d52e5dde,

title = "Fast valuation and calibration of credit default swaps under L{\'e}vy dynamics",

keywords = "academic journal papers, Vakpubl., Overig wet. > 3 pag",

author = "F Fang and HJ J'onsson and CW Oosterlee and W Schoutens",

year = "2010",

language = "Undefined/Unknown",

volume = "14",

pages = "1--30",

journal = "The Journal of Computational Finance",

issn = "1460-1559",

publisher = "Incisive Media Ltd.",

number = "2",

}

TY - JOUR

T1 - Fast valuation and calibration of credit default swaps under Lévy dynamics

AU - Fang, F

AU - J'onsson, HJ

AU - Oosterlee, CW

AU - Schoutens, W

PY - 2010

Y1 - 2010

KW - academic journal papers

KW - Vakpubl., Overig wet. > 3 pag

M3 - Article

VL - 14

SP - 1

EP - 30

JO - The Journal of Computational Finance

JF - The Journal of Computational Finance

SN - 1460-1559

IS - 2

ER -