Pricing the credit default swap rate for jump diffusion default intensity processes

Yong Ki Ma, Jeong Hoon Kim

Research output: Contribution to journalArticle

11 Citations (Scopus)
Original languageEnglish
Pages (from-to)809-817
Number of pages9
JournalQuantitative Finance
Volume10
Issue number8
DOIs
Publication statusPublished - 2010 Sep 23

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Credit default swaps
Default intensity
Pricing
Jump diffusion

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics, Econometrics and Finance(all)

Cite this

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author = "Ma, {Yong Ki} and Kim, {Jeong Hoon}",
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journal = "Quantitative Finance",
issn = "1469-7688",
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}

Pricing the credit default swap rate for jump diffusion default intensity processes. / Ma, Yong Ki; Kim, Jeong Hoon.

In: Quantitative Finance, Vol. 10, No. 8, 23.09.2010, p. 809-817.

Research output: Contribution to journalArticle

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AU - Kim, Jeong Hoon

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