A model for dependent default with hyperbolic attenuation effect and valuation of credit default swap

doi:10.1007/s10483-007-1211-9

Applied Mathematics and Mechanics (English Edition) ›› 2007, Vol. 28 ›› Issue (12): 1643-1649 .doi: https://doi.org/10.1007/s10483-007-1211-9

A model for dependent default with hyperbolic attenuation effect and valuation of credit default swap

白云芬, 胡新华, 叶中行

收稿日期:2007-01-30 修回日期:2007-10-22 出版日期:2007-12-18 发布日期:2007-12-18
通讯作者: 白云芬

BAI Yun-fen, HU Xin-hua, YE Zhong-xing

1. Department of Mathematics, Shanghai Jiaotong University, Shanghai 200240, P. R. China;
2. Department of Mathematics, Shijiazhuang College, Shijiazhuang, Hebei 050035, P. R. China;
3. Guanghua Institute of Management, Peking University, Beijing 100032, P. R. China;

Received:2007-01-30 Revised:2007-10-22 Online:2007-12-18 Published:2007-12-18
Contact: BAI Yun-fen

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白云芬;胡新华;叶中行. A model for dependent default with hyperbolic attenuation effect and valuation of credit default swap[J]. Applied Mathematics and Mechanics (English Edition), 2007, 28(12): 1643-1649 .

BAI Yun-fen;HU Xin-hua;YE Zhong-xing. null[J]. Applied Mathematics and Mechanics (English Edition), 2007, 28(12): 1643-1649 .

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A model for dependent default with hyperbolic attenuation effect and valuation of credit default swap

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