Valuation of synthetic CDOs with affine jump-diffusion processes involving Lévy stable distributions-Reference-Cited by-同舟云学术

Valuation of synthetic CDOs with affine jump-diffusion processes involving Lévy stable distributions

Published:2013-02 Issue:3-4 Volume:57 Page:570-583
ISSN:0895-7177
Container-title:Mathematical and Computer Modelling
language:en
Short-container-title:Mathematical and Computer Modelling

Author:

Wu Jiang-Lun,Yang Wei

Funder

Department of Mathematics, Swansea University

Publisher

Elsevier BV

Subject

Computer Science Applications,Modelling and Simulation

Reference48 articles.

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