COUNTERPARTY RISK FOR CREDIT DEFAULT SWAP WITH STATES RELATED DEFAULT INTENSITY PROCESSES
Year of publication: |
2011
|
---|---|
Authors: | TANG, DAN ; WANG, YONGJIN ; ZHOU, YUZHEN |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 14.2011, 08, p. 1335-1353
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Credit default swap | counterparty risk | Markov modulated processes |
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