The pricing of credit default swaps under a generalized mixed fractional Brownian motion
Author:
Publisher
Elsevier BV
Subject
Condensed Matter Physics,Statistics and Probability
Reference31 articles.
1. Valuing credit derivatives;Longstaff;J. Fixed Income,1995
2. A simple probabilistic approach to the pricing of credit swap covenants;de Malherbe;J. Risk,2006
3. Counterparty risk for credit default swaps impact of spread volatility and default correlation;Brigo;Int. J. Theor. Appl. Finance,2009
4. Pricing derivatives on financial securities subject to credit risk;Jarrow;J. Finance,1995
5. An econometric model of the term structure of interest-rate swap yields;Duffie;J. Finance,1997
Cited by 28 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Pricing Asian options under the mixed fractional Brownian motion with jumps;Mathematics and Computers in Simulation;2024-12
2. Parameter estimation for fractional mixed fractional Brownian motion based on discrete observations;Modern Stochastics: Theory and Applications;2023-12-05
3. Data augmentation of credit default swap transactions based on a sequence GAN;Information Processing & Management;2022-05
4. Pricing Formula for European Option in Regime-Switching Mixed Fractional Brownian Motion Model with Jumps;Iranian Journal of Science and Technology, Transactions A: Science;2022-04
5. Testing stationarity of the detrended price return in stock markets;Physica A: Statistical Mechanics and its Applications;2022-02
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3