Valuation of default swap with affine-type hazard rate

DOI10.3792/pjaa.75.43zbMath0935.60034OpenAlexW1972431637MaRDI QIDQ1302099

Hidetoshi Nakagawa

Publication date: 25 April 2000

Published in: Proceedings of the Japan Academy. Series A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3792/pjaa.75.43

zbMATH Keywords

hazard rateaffine modelsdefault swap

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80)

Cites Work

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