Pricing of swaps with default risk

DOI10.1007/BF01531336zbMath1274.91422OpenAlexW3124173809MaRDI QIDQ375369

Hai-Tao Li

Publication date: 30 October 2013

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01531336

zbMATH Keywords

credit riskcontingent claim analysiscurrency swapsinterest rate swaps

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (2)

Interest rate swap pricing with default risk under variance gamma process ⋮ Pricing model of interest rate swap with a bilateral default risk

Uses Software

• Hopscotch

Cites Work

• The Pricing of Options and Corporate Liabilities
• The construction of hopscotch methods for parabolic and elliptic equations in two space dimensions with a mixed derivative
• A Theory of the Term Structure of Interest Rates
• Hopscotch: a Fast Second-order Partial Differential Equation Solver

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