collaborators

1 paper

q-fin.MF2024

Efficient calibration of the shifted square-root diffusion model to credit default swap spreads using asymptotic approximations

Ankush Agarwal, Ying Liao

We derive a closed-form approximation for the credit default swap (CDS) spread in the two-dimensional shifted square-root diffusion (SSRD) model using asymptotic coefficient expans…