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Valuation of default swap with affine-type hazard rate

Authors :
Hidetoshi Nakagawa
Source :
Proc. Japan Acad. Ser. A Math. Sci. 75, no. 3 (1999), 43-46
Publication Year :
1999
Publisher :
The Japan Academy, 1999.

Subjects

Subjects :
Credit default swap
Actuarial science
General Mathematics
Hazard ratio
Economics
Affine transformation
Valuation (finance)

Details

Language :
English
Database :
OpenAIRE
Journal :
Proc. Japan Acad. Ser. A Math. Sci. 75, no. 3 (1999), 43-46
Accession number :
edsair.doi.dedup.....6c3c9193c806e749a3dc03bdd035d3b2

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