Interest rate swap pricing with default risk under variance gamma process (Q2408891)
From MaRDI portal
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
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
0 references
0 references
0 references
