The pricing of total return swap under default contagion models with jump-diffusion interest rate risk

DOI10.1007/s13226-020-0405-9zbMath1457.60111OpenAlexW3012001656MaRDI QIDQ1985946

Anjiao Wang

Publication date: 7 April 2020

Published in: Indian Journal of Pure \& Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13226-020-0405-9

zbMATH Keywords

credit riskinterest rate riskdefault contagiontotal return swapjump-diffusion risk

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) Jump processes on general state spaces (60J76)

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