Valuation of a loan-only credit default swap with negatively correlated default and prepayment intensities

Jin Liang, Tao Wang. Valuation of a loan-only credit default swap with negatively correlated default and prepayment intensities. Int. J. Comput. Math., 89(9):1255-1268, 2012. [doi]

Authors

Jin Liang

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Tao Wang

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