DefaultRiskManagementofCreditDerivativeswithHJMModel
碩士 === 國立政治大學 === 國際貿易研究所 === 91 === Abstract In this study, we combine credit valuation approaches developed by Jarrow＆Turnbull (1995)、Duffie＆Singleton (1999)、Schonbucher (2000) to execute a default pricing methodology under H.J.M default intensity structure. We can use market data such as def...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2003
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| Online Access: | http://ndltd.ncl.edu.tw/handle/96627989780101357753 |