Pricing model of interest rate swap with a bilateral default risk
type: Item
instance of: scholarly article
title: Pricing model of interest rate swap with a bilateral default risk
zbMATH Open document ID: 1187.91218
author: Jinping Yu
author: Albert Jerry Cristoforo
author: Xiaohu Yang
author: Xiaofeng Yang
author: Shenghong Li
published in: Journal of Computational and Applied Mathematics
publication date: 2010-04-21T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91B25
Mathematics Subject Classification ID: 91G60
zbMATH DE Number: 5696599
zbMATH Keywords: interest rate swap
zbMATH Keywords: default risk
zbMATH Keywords: Crank-Nicholson difference method
zbMATH Keywords: Feynman-Kac formula
MaRDI profile type: Publication
full work available at URL: j.cam.2009.12.042
OpenAlex ID: W2150894340
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cites work: Q4435813
cites work: Large Sample Properties of Generalized Method of Moments Estimators
cites work: Q5783502
DOI: 10.1016/J.CAM.2009.12.042
description: scientific article; zbMATH DE number 5696599