A model for dependent default with hyperbolic attenuation effect and valuation of credit default swap
type: Item
instance of: scholarly article
title: A model for dependent default with hyperbolic attenuation effect and valuation of credit default swap
zbMATH Open document ID: 1231.62186
author: Yun-Fen Bai
author: Xin-Hua Hu
author: Zhongxing Ye
published in: Applied Mathematics and Mechanics. (English Edition)
publication date: 2008-09-01T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 5318325
zbMATH Keywords: change of measure
zbMATH Keywords: CDS
MaRDI profile type: Publication
full work available at URL: s10483-007-1211-9
OpenAlex ID: W2024264543
cites work: On Cox processes and credit risky securities
cites work: A General Formula for Valuing Defaultable Securities
cites work: Martingales and stochastic integrals in the theory of continuous trading
DOI: 10.1007/S10483-007-1211-9
description: scientific article; zbMATH DE number 5318325