Journal article 1213 views
Valuation of synthetic CDOs with affine jump-diffusion processes involving Lévy stable distributions
Mathematical and Computer Modelling, Volume: 57, Issue: 3-4, Pages: 570 - 583
Swansea University Author:
Jiang-lun Wu
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DOI (Published version): 10.1016/j.mcm.2012.06.038
Abstract
Valuation of synthetic CDOs with affine jump-diffusion processes involving Lévy stable distributions
Published in: | Mathematical and Computer Modelling |
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ISSN: | 08957177 |
Published: |
2013
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Online Access: |
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URI: | https://cronfa.swan.ac.uk/Record/cronfa13416 |
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College: |
Faculty of Science and Engineering |
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Issue: |
3-4 |
Start Page: |
570 |
End Page: |
583 |