Narrow search
Showing 1 - 10 of 76
Cover Image
On a corporate bond pricing model with credit rating migration risks and stochastic interest rate
Liang, Jin; Yin, Hong-Ming; Chen, Xinfu; Wu, Yuan - In: Quantitative finance and economics 1 (2017) 3, pp. 300-319
Persistent link: https://www.econbiz.de/10012137817
Cover Image
On a new corporate bond pricing model with potential credit rating change and stochastic interest rate
Yin, Hong-Ming; Liang, Jin; Wu, Yuan - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-12
In this paper, we consider a new corporate bond-pricing model with credit-rating migration risks and a stochastic interest rate. In the new model, the criterion for rating change is based on a predetermined ratio of the corporation’s total asset and debt. Moreover, the rating changes are...
Persistent link: https://www.econbiz.de/10011960410
Cover Image
Valuation of a basket loan credit default swap
Liang, Jin; Zhou, Yujing - In: International journal of financial research 1 (2010) 1, pp. 21-29
Persistent link: https://www.econbiz.de/10009305958
Cover Image
Calibration of implied volatility for the exchange rate for the Chinese Yuan from its derivatives
Liang, Jin; Gao, Y. - In: Economic modelling 29 (2012) 4, pp. 1278-1285
Persistent link: https://www.econbiz.de/10009667379
Cover Image
Intensity-based models for pricing mortgage-backed securities with repayment risk under a CIR process
Wu, Sen; Jiang, Lishang; Liang, Jin - In: International journal of theoretical and applied finance 15 (2012) 3, pp. 1-17
Persistent link: https://www.econbiz.de/10009624491
Cover Image
Pricing for basket CDS and LCDS
Wang, Tao; Liang, Jin; Yang, Xiaoli - In: Modern economy 3 (2012) 2, pp. 171-178
Persistent link: https://www.econbiz.de/10009703824
Cover Image
Valuation of credit contingent interest rate swap
Liang, Jin; Xu, Yin - In: Risk and decision analysis 4 (2013) 1, pp. 39-46
Persistent link: https://www.econbiz.de/10009782583
Cover Image
Valuation of portfolio credit derivatives with default intensities using the Vasicek model
Liang, Jin; Ma, Jun Mei; Wang, Tao; Ji, Qin - In: Asia-Pacific financial markets 18 (2011) 1, pp. 33-54
Persistent link: https://www.econbiz.de/10009237750
Cover Image
Optimal control model of an enterprise for single and inheriting periods of carbon emission reduction
Liang, Jin; Huang, Wenlin - In: Mathematics and financial economics 16 (2022) 1, pp. 89-123
Persistent link: https://www.econbiz.de/10013167708
Cover Image
Empirical validation of the credit rating migration model for estimating the migration boundary
Lin, Yang; Liang, Jin - In: The journal of risk model validation 15 (2021) 2, pp. 39-61
Persistent link: https://www.econbiz.de/10012817214