Narrow search
Showing 1 - 10 of 19
Cover Image
Attenuated model of pricing credit default swap under the fractional Brownian motion environment
Gu, Wenjing; Liu, Yinglin; Hao, Ruili - In: Journal of mathematical finance 6 (2016) 2, pp. 247-259
Persistent link: https://www.econbiz.de/10011543929
Cover Image
Pricing credit default swap under fractional Vasicek interest rate model
Hao, Ruili; Liu, Yonghui; Wang, Shoubai - In: Journal of mathematical finance 4 (2014) 1, pp. 10-20
Persistent link: https://www.econbiz.de/10010422093
Cover Image
The pricing of credit derivatives and estimation of default probability
Zhou, Hanghang; Zhao, Dianli - In: Journal of mathematical finance 5 (2015) 3, pp. 243-248
Persistent link: https://www.econbiz.de/10011438503
Cover Image
Credit derivative valuation and parameter estimation for multi-factor affine CIR-type hazard rate model
Maboulou, Alma P. Bimbabou; Mashele, Hopolang P. - In: Journal of mathematical finance 5 (2015) 3, pp. 273-285
Persistent link: https://www.econbiz.de/10011438513
Cover Image
A comparative study of equilibrium equity premium under discrete distributions of jump amplitudes
Mukupa, George M.; Offen, Elias R.; Kunda, Douglas; … - In: Journal of mathematical finance 6 (2016) 1, pp. 232-246
Persistent link: https://www.econbiz.de/10011543918
Cover Image
Equilibrium equity premium in a semi martingale market when jump amplitudes follow a binomial distribution
Mukupa, George M.; Offen, Elias R. - In: Journal of mathematical finance 8 (2018) 3, pp. 599-612
Persistent link: https://www.econbiz.de/10011968727
Cover Image
The role of collateral in credit markets
Atta-Mensah, Joseph - In: Journal of mathematical finance 5 (2015) 4, pp. 315-327
Persistent link: https://www.econbiz.de/10011438563
Cover Image
A stochastic correlation model with time change for pricing credit spread options
Tong, Zhigang; Liu, Allen - In: Journal of mathematical finance 7 (2017) 2, pp. 445-466
Persistent link: https://www.econbiz.de/10011673996
Cover Image
On asymptotic behaviors of exponential hedging in the basis-risk model
Takino, Kazuhiro - In: Journal of mathematical finance 5 (2015) 2, pp. 212-231
Persistent link: https://www.econbiz.de/10011399011
Cover Image
Estimating realistic implied correlation matrix from option prices
Numpacharoen, Kawee; Numpacharoen, Nattachai - In: Journal of mathematical finance 3 (2013) 4, pp. 401-406
Persistent link: https://www.econbiz.de/10010239524