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Silvana Musti
Information about the author Silvana Musti will soon be added to the site.
Found
2 papers
in total
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Modelling the evolution of credit spreads using the Cox process within the HJM framework: A CDS option pricing model
2011
In this paper a simulation approach for defaultable yield curves is developed within...
A volatility decomposition control variate technique for Monte Carlo simulations of Heath, Jarrow, Morton models
2005
The aim of this work is to develop a simulation approach to the yield curve evolution...
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