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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URI: | https://cronfa.swan.ac.uk/Record/cronfa13416 |
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2017-12-15T14:29:20.7630461 v2 13416 2012-12-03 Valuation of synthetic CDOs with affine jump-diffusion processes involving Lévy stable distributions dbd67e30d59b0f32592b15b5705af885 0000-0003-4568-7013 Jiang-lun Wu Jiang-lun Wu true false 2012-12-03 SMA Journal Article Mathematical and Computer Modelling 57 3-4 570 583 08957177 31 12 2013 2013-12-31 10.1016/j.mcm.2012.06.038 COLLEGE NANME Mathematics COLLEGE CODE SMA Swansea University 2017-12-15T14:29:20.7630461 2012-12-03T13:05:34.7691268 Faculty of Science and Engineering School of Mathematics and Computer Science - Mathematics Jiang-lun Wu 0000-0003-4568-7013 1 Wei Yang 2 |
title |
Valuation of synthetic CDOs with affine jump-diffusion processes involving Lévy stable distributions |
spellingShingle |
Valuation of synthetic CDOs with affine jump-diffusion processes involving Lévy stable distributions Jiang-lun Wu |
title_short |
Valuation of synthetic CDOs with affine jump-diffusion processes involving Lévy stable distributions |
title_full |
Valuation of synthetic CDOs with affine jump-diffusion processes involving Lévy stable distributions |
title_fullStr |
Valuation of synthetic CDOs with affine jump-diffusion processes involving Lévy stable distributions |
title_full_unstemmed |
Valuation of synthetic CDOs with affine jump-diffusion processes involving Lévy stable distributions |
title_sort |
Valuation of synthetic CDOs with affine jump-diffusion processes involving Lévy stable distributions |
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 |
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57 |
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3-4 |
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570 |
publishDate |
2013 |
institution |
Swansea University |
issn |
08957177 |
doi_str_mv |
10.1016/j.mcm.2012.06.038 |
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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 |
department_str |
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 |
2013-12-31T03:15:21Z |
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1763750257950195712 |
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11.021648 |