Pricing model of interest rate swap with a bilateral default risk
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Publication:964973
DOI10.1016/j.cam.2009.12.042zbMath1187.91218MaRDI QIDQ964973
Xiao-Feng Yang, Jinping Yu, Albert Jerry Cristoforo, Xiaohu Yang, Sheng-Hong Li
Publication date: 21 April 2010
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2009.12.042
91G60: Numerical methods (including Monte Carlo methods)
91G20: Derivative securities (option pricing, hedging, etc.)
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Cites Work
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- Large Sample Properties of Generalized Method of Moments Estimators
- The Pricing of Options and Corporate Liabilities
- Pricing of swaps with default risk
- Modelling Australian interest rate swap spreads by mixture autoregressive conditional heteroscedastic processes
- Recursive valuation of defaultable securities and the timing of resolution of uncertainty
- Interest rate swaps under CIR.
- An equilibrium characterization of the term structure