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]
@article{LiangW12,
title = {Valuation of a loan-only credit default swap with negatively correlated default and prepayment intensities},
author = {Jin Liang and Tao Wang},
year = {2012},
doi = {10.1080/00207160.2012.657184},
url = {http://dx.doi.org/10.1080/00207160.2012.657184},
researchr = {https://researchr.org/publication/LiangW12},
cites = {0},
citedby = {0},
journal = {Int. J. Comput. Math.},
volume = {89},
number = {9},
pages = {1255-1268},
}