Pricing model of interest rate swap with a bilateral default risk (Q964973): Difference between revisions

@@ Property / author @@
-Xiao-Feng Yang
@@ Property / author: Xiao-Feng Yang / rank @@
-Normal rank
@@ Property / author @@
-Sheng-Hong Li
@@ Property / author: Sheng-Hong Li / rank @@
-Normal rank
@@ Property / author @@
+Xiao-Feng Yang
@@ Property / author: Xiao-Feng Yang / rank @@
+Normal rank
@@ Property / author @@
+Sheng-Hong Li
@@ Property / author: Sheng-Hong Li / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.cam.2009.12.042
+Normal rank
@@ Property / OpenAlex ID @@
+W2150894340
@@ Property / OpenAlex ID: W2150894340 / rank @@
+Normal rank
@@ Property / cites work @@
+Modelling Australian interest rate swap spreads by mixture autoregressive conditional heteroscedastic processes
+Normal rank
@@ Property / cites work @@
+Recursive valuation of defaultable securities and the timing of resolution of uncertainty
+Normal rank
@@ Property / cites work @@
+Pricing of swaps with default risk
@@ Property / cites work: Pricing of swaps with default risk / rank @@
+Normal rank
@@ Property / cites work @@
+Interest rate swaps under CIR.
@@ Property / cites work: Interest rate swaps under CIR. / rank @@
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+An equilibrium characterization of the term structure
+Normal rank
@@ Property / cites work @@
+Q4435813
@@ Property / cites work: Q4435813 / rank @@
+Normal rank
@@ Property / cites work @@
+Large Sample Properties of Generalized Method of Moments Estimators
+Normal rank
@@ Property / cites work @@
+Q5783502
@@ Property / cites work: Q5783502 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:964973