Pricing model of interest rate swap with a bilateral default risk
Author:
Publisher
Elsevier BV
Subject
Applied Mathematics,Computational Mathematics
Reference23 articles.
1. An economic analysis of interest rate swaps;Bicksler;The Journal of Finance,1986
2. An empirical examination of basic valuation models for plain vanilla U.S. interest rate swaps;Minton;Financial Economics,1997
3. The market price of risk in interest rate swaps: The roles of default and liquidity risks;Liu;Journal of Business,2006
4. Modelling Australian interest rate swap spreads by mixture autoregressive conditional heteroscedastic processes;Chan;Mathematics and Computers in Simulation,2009
5. The default risk of swaps;Cooper;The Journal of Finance,1991
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1. Interest rate swap pricing with default risk under variance gamma process;Applied Mathematics-A Journal of Chinese Universities;2017-03
2. Valuing Interest Rate Swap Contracts in Uncertain Financial Market;Sustainability;2016-11-18
3. Pricing and risk management of interest rate swaps;European Journal of Operational Research;2013-07
4. Key Frame Extraction Based on Connectivity Clustering;2010 Second International Workshop on Education Technology and Computer Science;2010
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