Evan Papageorgiou

Princeton University

22 Chambers Street

Princeton, NJ 08544-0708

United States

http://www.princeton.edu/~evanp

SCHOLARLY PAPERS

2

DOWNLOADS

354

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (2)

1.

Multiscale Intensity Models for Single Name Credit Derivatives

Number of pages: 31 Posted: 08 Aug 2006
Evan Papageorgiou and Ronnie Sircar
Princeton University and Princeton University - Department of Operations Research and Financial Engineering
Downloads 188 (299,057)
Citation 2

Abstract:

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Defaultable bond, credit default swap, defaultable bond option, asymptotic approximation, time scales

2.

Multiscale Intensity Models and Name Grouping for Valuation of Multi-Name Credit Derivatives

Number of pages: 30 Posted: 26 Jun 2007
Evan Papageorgiou and Ronnie Sircar
Princeton University and Princeton University - Department of Operations Research and Financial Engineering
Downloads 166 (333,687)
Citation 5

Abstract:

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Collateralized debt obligations, intensity-based model, stochastic volatility, asymptotic approximation, multiple time scales, homogeneous-group factor models, bottom-up, top-down