scientific article; zbMATH DE number 6130085

zbMATH Open1265.91157MaRDI QIDQ4901645FDOQ4901645

Authors: Yanyun Rong, Xiao-Li Yang, Jin Liang 

Publication date: 24 January 2013

Title of this publication is not available (Why is that?)

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zbMATH Keywords

defaultstructure modelprepaymentloan credit default swap

Mathematics Subject Classification ID

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

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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