A Dynamic Correlation Model for Pricing Credit Derivatives in A Lattice Framework

Ph.D

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Main Author:	GAO TINGTING
Other Authors:	MATHEMATICS
Format:	Theses and Dissertations
Language:	English
Published:	2011
Subjects:	bi-variate Markov process, operator method, infinitesimal generator, collateralized debt obligation, dynamic correlation, reduced-form model
Online Access:	http://scholarbank.nus.edu.sg/handle/10635/25053
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Institution:	National University of Singapore
Language:	English

id	sg-nus-scholar.10635-25053
record_format	dspace
spelling	sg-nus-scholar.10635-250532017-10-21T08:37:04Z A Dynamic Correlation Model for Pricing Credit Derivatives in A Lattice Framework GAO TINGTING MATHEMATICS TAN HWEE HUAT CHEN XIU-FEN, OLIVER bi-variate Markov process, operator method, infinitesimal generator, collateralized debt obligation, dynamic correlation, reduced-form model Ph.D DOCTOR OF PHILOSOPHY 2011-07-31T18:00:31Z 2011-07-31T18:00:31Z 2010-06-13 Thesis GAO TINGTING (2010-06-13). A Dynamic Correlation Model for Pricing Credit Derivatives in A Lattice Framework. ScholarBank@NUS Repository. http://scholarbank.nus.edu.sg/handle/10635/25053 NOT_IN_WOS en
institution	National University of Singapore
building	NUS Library
country	Singapore
collection	ScholarBank@NUS
language	English
topic	bi-variate Markov process, operator method, infinitesimal generator, collateralized debt obligation, dynamic correlation, reduced-form model
spellingShingle	bi-variate Markov process, operator method, infinitesimal generator, collateralized debt obligation, dynamic correlation, reduced-form model GAO TINGTING A Dynamic Correlation Model for Pricing Credit Derivatives in A Lattice Framework
description	Ph.D
author2	MATHEMATICS
author_facet	MATHEMATICS GAO TINGTING
format	Theses and Dissertations
author	GAO TINGTING
author_sort	GAO TINGTING
title	A Dynamic Correlation Model for Pricing Credit Derivatives in A Lattice Framework
title_short	A Dynamic Correlation Model for Pricing Credit Derivatives in A Lattice Framework
title_full	A Dynamic Correlation Model for Pricing Credit Derivatives in A Lattice Framework
title_fullStr	A Dynamic Correlation Model for Pricing Credit Derivatives in A Lattice Framework
title_full_unstemmed	A Dynamic Correlation Model for Pricing Credit Derivatives in A Lattice Framework
title_sort	dynamic correlation model for pricing credit derivatives in a lattice framework
publishDate	2011
url	http://scholarbank.nus.edu.sg/handle/10635/25053
_version_	1681080266409377792

A Dynamic Correlation Model for Pricing Credit Derivatives in A Lattice Framework

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