Cheikh Mbaye

Catholic University of Louvain (UCL) - Louvain Finance (LFIN)

34 Voie du Roman Pays - L1.03.01

Louvain-la-Neuve, 1348

Belgium

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Scholarly Papers (1)

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Affine Term-Structure Models: A Time-Changed Approach with Perfect Fit to Market Curves

Number of pages: 55 Posted: 22 Apr 2019
Cheikh Mbaye and Frédéric D. Vrins
Catholic University of Louvain (UCL) - Louvain Finance (LFIN) and Louvain Finance Center (LFIN), UC Louvain
Downloads 22 (534,526)

Abstract:

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credit risk, model calibration, default model, stochastic intensity, affine process, time change