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The Pricing of Credit Derivatives and Estimation of Default Probability
Hanghang Zhou,
Dianli Zhao
J. Math. Finance
Vol.5 No.3, July 07, 2015
DOI:
10.4236/jmf.2015.53022
(PDF 265K)
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CVA under Bates Model with Stochastic Default Intensity
Yaqin Feng
J. Math. Finance
Vol.7 No.3, July 31, 2017
DOI:
10.4236/jmf.2017.73036
(PDF 2697K)
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Attenuated Model of Pricing Credit Default Swap under the Fractional Brownian Motion Environment
Wenjing Gu,
Yinglin Liu,
Ruili Hao
J. Math. Finance
Vol.6 No.2, March 09, 2016
DOI:
10.4236/jmf.2016.62021
(PDF 350K)
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Pricing Credit Default Swap under Fractional Vasicek Interest Rate Model
Ruili Hao,
Yonghui Liu,
Shoubai Wang
J. Math. Finance
Vol.4 No.1, January 10, 2014
DOI:
10.4236/jmf.2014.41002
(PDF 163K)
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Financing Developing Country Debt: A Sovereign Borrowing Entity Proposal
David J. Moore,
Roger W. Clark,
George C. Philippatos
J. Financ. Risk Manag.
Vol.3 No.3, August 29, 2014
DOI:
10.4236/jfrm.2014.33008
(PDF 2835K)
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