Journal article 742 views
Pricing CDO tranches in an intensity based model with the mean reversion approach
Mathematical and Computer Modelling, Volume: 52, Issue: 5-6, Pages: 814 - 825
Swansea University Author: Jiang-lun Wu
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DOI (Published version): 10.1016/j.mcm.2010.05.012
Abstract
Pricing CDO tranches in an intensity based model with the mean reversion approach
Published in: | Mathematical and Computer Modelling |
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ISSN: | 0895-7177 |
Published: |
2010
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URI: | https://cronfa.swan.ac.uk/Record/cronfa1100 |
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2017-02-22T11:32:49.7544856 v2 1100 2012-02-23 Pricing CDO tranches in an intensity based model with the mean reversion approach dbd67e30d59b0f32592b15b5705af885 0000-0003-4568-7013 Jiang-lun Wu Jiang-lun Wu true false 2012-02-23 SMA Journal Article Mathematical and Computer Modelling 52 5-6 814 825 0895-7177 31 12 2010 2010-12-31 10.1016/j.mcm.2010.05.012 COLLEGE NANME Mathematics COLLEGE CODE SMA Swansea University 2017-02-22T11:32:49.7544856 2012-02-23T17:01:56.0000000 Faculty of Science and Engineering School of Mathematics and Computer Science - Mathematics Jiang-lun Wu 0000-0003-4568-7013 1 Wei Yang 2 |
title |
Pricing CDO tranches in an intensity based model with the mean reversion approach |
spellingShingle |
Pricing CDO tranches in an intensity based model with the mean reversion approach Jiang-lun Wu |
title_short |
Pricing CDO tranches in an intensity based model with the mean reversion approach |
title_full |
Pricing CDO tranches in an intensity based model with the mean reversion approach |
title_fullStr |
Pricing CDO tranches in an intensity based model with the mean reversion approach |
title_full_unstemmed |
Pricing CDO tranches in an intensity based model with the mean reversion approach |
title_sort |
Pricing CDO tranches in an intensity based model with the mean reversion approach |
author_id_str_mv |
dbd67e30d59b0f32592b15b5705af885 |
author_id_fullname_str_mv |
dbd67e30d59b0f32592b15b5705af885_***_Jiang-lun Wu |
author |
Jiang-lun Wu |
author2 |
Jiang-lun Wu Wei Yang |
format |
Journal article |
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Mathematical and Computer Modelling |
container_volume |
52 |
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5-6 |
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814 |
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2010 |
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Swansea University |
issn |
0895-7177 |
doi_str_mv |
10.1016/j.mcm.2010.05.012 |
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Faculty of Science and Engineering |
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facultyofscienceandengineering |
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Faculty of Science and Engineering |
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facultyofscienceandengineering |
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Faculty of Science and Engineering |
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School of Mathematics and Computer Science - Mathematics{{{_:::_}}}Faculty of Science and Engineering{{{_:::_}}}School of Mathematics and Computer Science - Mathematics |
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published_date |
2010-12-31T03:02:46Z |
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11.016235 |