The pricing of total return swap under default contagion models with jump-diffusion interest rate risk (Q1985946)
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scientific article; zbMATH DE number 7187899
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The pricing of total return swap under default contagion models with jump-diffusion interest rate risk |
scientific article; zbMATH DE number 7187899 |
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The pricing of total return swap under default contagion models with jump-diffusion interest rate risk (English)
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7 April 2020
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credit risk
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default contagion
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interest rate risk
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jump-diffusion risk
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total return swap
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