scientific article; zbMATH DE number 5669952

MaRDI QIDQ3402938zbMATH OpenFDO

Authors Jinping Yu, Shenghong Li

Publication date 12 February 2010

zbMATH Keywords

asset-backed securitizationjump-diffusion model

Mathematics Subject Classification ID

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

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Cited in

(6)

• Pricing time-to-event contingent cash flows: a discrete-time survival analysis approach
• PRICING CREDIT RISK OF ASSET-BACKED SECURITIZATION BONDS IN SINGAPORE
• scientific article; zbMATH DE number 5734032 (Why is no real title available?)
• Modelling default and prepayment using Lévy processes: an application to asset backed securities
• scientific article; zbMATH DE number 2151387 (Why is no real title available?)
• A structural jump-diffusion model for pricing collateralized debt obligations tranches

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