Group Member:
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Sidy Diop [ PhD Student (Unibo) ] sidy.diop2@unibo.it https://www.unibo.it/sitoweb/sidy.diop2 |
Publications:
[1] Calvo-Garrido M.C., Diop S., Pascucci A., Vazquez C.,
PDE models for the valuation of a non callable defaultable coupon bond under an extended JDCEV model
Commun. Nonlinear Sci. Numer. Simul. 102, Paper No. 105914, 2021
[2] Di Francesco M., Diop S., Pascucci A.,
CDS calibration under an extended JDCEV model
Int. J. Comput. Math. 96, no. 9, 1735-1751, 2019
[3] De Marchi G.L., Di Francesco M., Diop S., Pascucci A.,
Sovereign CDS calibration under a hybrid Sovereign Risk Model
Appl. Math. Finance 25(4), pp.336-360, 2018
PDE models for the valuation of a non callable defaultable coupon bond under an extended JDCEV model
Commun. Nonlinear Sci. Numer. Simul. 102, Paper No. 105914, 2021
[2] Di Francesco M., Diop S., Pascucci A.,
CDS calibration under an extended JDCEV model
Int. J. Comput. Math. 96, no. 9, 1735-1751, 2019
[3] De Marchi G.L., Di Francesco M., Diop S., Pascucci A.,
Sovereign CDS calibration under a hybrid Sovereign Risk Model
Appl. Math. Finance 25(4), pp.336-360, 2018
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