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A subordinated CIR model for CVA with wrong-way risk

Bibliographic reference Mbaye, Cheikh ; Vrins, Frédéric. A subordinated CIR model for CVA with wrong-way risk.2nd International Conference on Computational Finance 2017 (Lisbon, Portugal, du 04/09/2017 au 08/09/2017). In: Manuel Guerra and Joao Janela, Proceedings of the 2nd International Conference on Computational Finance - ICCF 2017, 2017
Permanent URL http://hdl.handle.net/2078.1/187597