Wanrong Mu, Sung Nok Chiu, Guojing Wang. Pricing CDS index tranches under thinning-dependence structure with regime switching. J. Computational Applied Mathematics, 451:116080, 2024. [doi]
@article{MuCW24,
title = {Pricing CDS index tranches under thinning-dependence structure with regime switching},
author = {Wanrong Mu and Sung Nok Chiu and Guojing Wang},
year = {2024},
doi = {10.1016/j.cam.2024.116080},
url = {https://doi.org/10.1016/j.cam.2024.116080},
researchr = {https://researchr.org/publication/MuCW24},
cites = {0},
citedby = {0},
journal = {J. Computational Applied Mathematics},
volume = {451},
pages = {116080},
}