Journal article 1530 views
Valuation of synthetic CDOs with affine jump-diffusion processes involving Lévy stable distributions
Jiang-lun Wu,
Wei Yang
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 |
|---|---|
| ISSN: | 08957177 |
| Published: |
2013
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| Online Access: |
Check full text
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| URI: | https://cronfa.swan.ac.uk/Record/cronfa13416 |
| College: |
Faculty of Science and Engineering |
|---|---|
| Issue: |
3-4 |
| Start Page: |
570 |
| End Page: |
583 |