Interest rate swap pricing with default risk under variance gamma process (Q2408891): Difference between revisions

From MaRDI portal
Import240304020342 (talk | contribs)
Set profile property.
ReferenceBot (talk | contribs)
Changed an Item
 
(One intermediate revision by one other user not shown)
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1007/s11766-017-3290-1 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2592398191 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Pricing of Options and Corporate Liabilities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Modelling Australian interest rate swap spreads by mixture autoregressive conditional heteroscedastic processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5783502 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Recursive valuation of defaultable securities and the timing of resolution of uncertainty / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3333408 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing of swaps with default risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Variance Gamma Process and Option Pricing / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option Pricing With V. G. Martingale Components<sup>1</sup> / rank
 
Normal rank
Property / cites work
 
Property / cites work: An equilibrium characterization of the term structure / rank
 
Normal rank
Property / cites work
 
Property / cites work: Valuing credit default swap under a double exponential jump diffusion model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing model of interest rate swap with a bilateral default risk / rank
 
Normal rank

Latest revision as of 14:11, 14 July 2024

scientific article
Language Label Description Also known as
English
Interest rate swap pricing with default risk under variance gamma process
scientific article

    Statements

    Interest rate swap pricing with default risk under variance gamma process (English)
    0 references
    0 references
    0 references
    20 October 2017
    0 references
    variance gamma process
    0 references
    interest rate swap
    0 references
    default risk
    0 references
    reduced form model
    0 references
    structural model
    0 references

    Identifiers