The dynamic spread of the forward CDS with general random loss

DOI10.1155/2014/580713zbMath1406.91453OpenAlexW2064004084WikidataQ59039620 ScholiaQ59039620MaRDI QIDQ1724436

Kun Tian, Dewen Xiong, Zhong-Xing Ye

Publication date: 14 February 2019

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/580713

zbMATH Keywords

stochastic interest ratesdynamic spreadforward credit default swap

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Cites Work

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• Carthaginian enlargement of filtrations

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