scientific article; zbMATH DE number 6130085

MaRDI QIDQ4901645zbMATH OpenFDO

Authors Yanyun Rong, Xiao-Li Yang, Jin Liang

Publication date 24 January 2013

zbMATH Keywords

defaultstructure modelprepaymentloan credit default swap

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

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Cited in

(2)

• Valuation of mortgage loan CDS
• Valuation of a loan-only credit default swap with negatively correlated default and prepayment intensities

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