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scientific article; zbMATH DE number 6129240 - MaRDI portal

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zbMath1265.91072MaRDI QIDQ4900760

Ruixin Zhuang, Zhong-Xing Ye

Publication date: 24 January 2013

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Monte Carlo simulation default risk HJM model total return swap

Mathematics Subject Classification ID

Related Items (3)

The total return swap pricing model under fuzzy random environments ⋮ Total return swap valuation with counterparty risk and interest rate risk ⋮ The pricing of total return swap under default contagion models with jump-diffusion interest rate risk

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