Project title
Jarrow-Lando-Turnbull 一般化模型之研究
Internal ID
94-2416-H-002-039-
Principal Investigator
Start Date
August 1, 2005
End Date
July 31, 2006
Partner Organizations
Jarrow-Lando-Turnbull 一般化模型之研究
Keywords
信用價差期間結構模型
歐式信用價差選擇權
馬可夫鍊
模型
倒帳推移機率
矩陣
信用衍生性商品
信用評等
Model of Term Structure of Credit Spreads
European Option of Credit Spread
Markov Chain Model
Transition Matrix of Default Probability
Credit Derivatives
Credit Ratings