Fast valuation and calibration of credit default swaps under Lévy dynamics

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

Research output: Contribution to journalArticleScientificpeer-review

Original languageUndefined/Unknown
Pages (from-to)1-30
Number of pages30
JournalThe Journal of Computational Finance
Issue number2
Publication statusPublished - 2010


  • academic journal papers
  • Vakpubl., Overig wet. > 3 pag

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