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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Bibliographic Details
Main Authors: Chen Pei-Jui, 陳培芮
Other Authors: Lee Tsung-Pei
Format: Others
Language:zh-TW
Published: 2005
Online Access:http://ndltd.ncl.edu.tw/handle/30344963995622386126

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