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Pricing CDO tranches in an intensity based model with the mean reversion approach

Jiang-lun Wu, Wei Yang

Mathematical and Computer Modelling, Volume: 52, Issue: 5-6, Pages: 814 - 825

Swansea University Author: Jiang-lun Wu

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DOI (Published version): 10.1016/j.mcm.2010.05.012

Published in: Mathematical and Computer Modelling
ISSN: 0895-7177
Published: 2010
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URI: https://cronfa.swan.ac.uk/Record/cronfa1100
first_indexed 2013-07-23T11:46:19Z
last_indexed 2018-02-09T04:28:01Z
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spelling 2017-02-22T11:32:49.7544856 v2 1100 2012-02-23 Pricing CDO tranches in an intensity based model with the mean reversion approach dbd67e30d59b0f32592b15b5705af885 Jiang-lun Wu Jiang-lun Wu true false 2012-02-23 Journal Article Mathematical and Computer Modelling 52 5-6 814 825 0895-7177 31 12 2010 2010-12-31 10.1016/j.mcm.2010.05.012 COLLEGE NANME COLLEGE CODE Swansea University 2017-02-22T11:32:49.7544856 2012-02-23T17:01:56.0000000 Faculty of Science and Engineering School of Mathematics and Computer Science - Mathematics Jiang-lun Wu 1 Wei Yang 2
title Pricing CDO tranches in an intensity based model with the mean reversion approach
spellingShingle Pricing CDO tranches in an intensity based model with the mean reversion approach
Jiang-lun Wu
title_short Pricing CDO tranches in an intensity based model with the mean reversion approach
title_full Pricing CDO tranches in an intensity based model with the mean reversion approach
title_fullStr Pricing CDO tranches in an intensity based model with the mean reversion approach
title_full_unstemmed Pricing CDO tranches in an intensity based model with the mean reversion approach
title_sort Pricing CDO tranches in an intensity based model with the mean reversion approach
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
container_title Mathematical and Computer Modelling
container_volume 52
container_issue 5-6
container_start_page 814
publishDate 2010
institution Swansea University
issn 0895-7177
doi_str_mv 10.1016/j.mcm.2010.05.012
college_str Faculty of Science and Engineering
hierarchytype
hierarchy_top_id facultyofscienceandengineering
hierarchy_top_title Faculty of Science and Engineering
hierarchy_parent_id facultyofscienceandengineering
hierarchy_parent_title 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
document_store_str 0
active_str 0
published_date 2010-12-31T03:05:12Z
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