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Multiple Period Gaussian materials

  • Thread starter Thread starter Yan He
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Yan He

Yan He

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Is there any course now cover this topic? We are shifting from Sinlge Period Gaussian Jump to Default Model to Multiple Period Model now.
I remember Greg talked a little bit about it two year ago in our Risk Mangement class. Wonder any there course would cover in more detail. Or anyone has any related paper I can refer to ? Thanks a lot.:)
 

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