Multiscale intensity models for single name credit derivatives

Keyphrases

• Bond Option 50%
• Computational Efficiency 50%
• Corporate Yield 50%
• Credit Default Swaps 50%
• Credit Derivatives 100%
• Diffusion Model 50%
• Intensity Model 100%
• Interest Rates 50%
• Ornstein-Uhlenbeck Process 50%
• Perturbation Expansion 50%
• Pricing Function 50%
• Reduced-form Framework 50%
• Regular Perturbation 50%
• Singular Perturbation 50%
• Yield Curve 50%

Mathematics

• Diffusion Model 100%
• Ornstein Uhlenbeck Process 100%
• Reduced Form 100%
• Regular Perturbation 100%
• Singular Perturbations 100%

Economics, Econometrics and Finance

• Credit Derivative 100%
• Interest Rate Derivative 50%
• Mean Reversion 50%
• Pricing 100%
• Yield Curve 50%