Pricing Interest Rate Swap Subject To Credit Default Risk
碩士 === 輔仁大學 === 金融研究所 === 93 === Traditionally, pricing Interest Rate Swap did not consider about credit default risk. Jarrow and Turnbull (1995) developed a reduced form model to pricing derivatives subject to credit default risk. In Jarrow and Turnbull Model, by using risky and riskless term struc...
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| Format: | Others |
| Language: | zh-TW |
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2005
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| Online Access: | http://ndltd.ncl.edu.tw/handle/30344963995622386126 |