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

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+Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
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+The Pricing of Options and Corporate Liabilities
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+Modelling Australian interest rate swap spreads by mixture autoregressive conditional heteroscedastic processes
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+Recursive valuation of defaultable securities and the timing of resolution of uncertainty
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+Pricing of swaps with default risk
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+The Variance Gamma Process and Option Pricing
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+Option Pricing With V. G. Martingale Components<sup>1</sup>
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+An equilibrium characterization of the term structure
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+Valuing credit default swap under a double exponential jump diffusion model
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+Pricing model of interest rate swap with a bilateral default risk
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