Gian Luca De Marchi

UnipolSai Assicurazioni SpA

Via Stalingrado 53

Bologna, 40128

Italy

SCHOLARLY PAPERS

1

DOWNLOADS

16

CITATIONS

0

Scholarly Papers (1)

1.

Sovereign CDS Calibration under a Hybrid Sovereign Risk Model

Applied Mathematical Finance, Forthcoming
Number of pages: 28 Posted: 09 Dec 2018
Gian Luca De Marchi, Marco Di Francesco, Sidy Diop and Andrea Pascucci
UnipolSai Assicurazioni SpA, UnipolSai Assicurazioni SpA, University of Bologna and University of Bologna - Department of Mathematics
Downloads 16 (542,240)

Abstract:

Loading...

credit default swap; hybrid credit-equity model; Constant Elasticity of Variance model; asymptotic expansion; Foreign exchange rate