Total return swap valuation with counterparty risk and interest rate risk

DOI10.1155/2014/412890zbMath1406.91454WikidataQ59037633 ScholiaQ59037633MaRDI QIDQ1724070

Anjiao Wang, Zhong-Xing Ye

Publication date: 14 February 2019

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/412890

zbMATH Keywords

interest rate risk; counterparty risk; contagion models; total return swap

Mathematics Subject Classification ID

91G30: Interest rates, asset pricing, etc. (stochastic models)

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

The pricing of total return swap under default contagion models with jump-diffusion interest rate risk, The total return swap pricing model under fuzzy random environments

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