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Valuation of synthetic CDOs with affine jump-diffusion processes involving Lévy stable distributions

Jiang-lun Wu Orcid Logo, Wei Yang

Mathematical and Computer Modelling, Volume: 57, Issue: 3-4, Pages: 570 - 583

Swansea University Author: Jiang-lun Wu Orcid Logo

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DOI (Published version): 10.1016/j.mcm.2012.06.038

Published in: Mathematical and Computer Modelling
ISSN: 08957177
Published: 2013
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URI: https://cronfa.swan.ac.uk/Record/cronfa13416
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first_indexed 2013-07-23T12:10:11Z
last_indexed 2018-02-09T04:44:08Z
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spelling 2017-12-15T14:29:20.7630461 v2 13416 2012-12-03 Valuation of synthetic CDOs with affine jump-diffusion processes involving Lévy stable distributions dbd67e30d59b0f32592b15b5705af885 0000-0003-4568-7013 Jiang-lun Wu Jiang-lun Wu true false 2012-12-03 SMA Journal Article Mathematical and Computer Modelling 57 3-4 570 583 08957177 31 12 2013 2013-12-31 10.1016/j.mcm.2012.06.038 COLLEGE NANME Mathematics COLLEGE CODE SMA Swansea University 2017-12-15T14:29:20.7630461 2012-12-03T13:05:34.7691268 Faculty of Science and Engineering School of Mathematics and Computer Science - Mathematics Jiang-lun Wu 0000-0003-4568-7013 1 Wei Yang 2
title Valuation of synthetic CDOs with affine jump-diffusion processes involving Lévy stable distributions
spellingShingle Valuation of synthetic CDOs with affine jump-diffusion processes involving Lévy stable distributions
Jiang-lun Wu
title_short Valuation of synthetic CDOs with affine jump-diffusion processes involving Lévy stable distributions
title_full Valuation of synthetic CDOs with affine jump-diffusion processes involving Lévy stable distributions
title_fullStr Valuation of synthetic CDOs with affine jump-diffusion processes involving Lévy stable distributions
title_full_unstemmed Valuation of synthetic CDOs with affine jump-diffusion processes involving Lévy stable distributions
title_sort Valuation of synthetic CDOs with affine jump-diffusion processes involving Lévy stable distributions
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 57
container_issue 3-4
container_start_page 570
publishDate 2013
institution Swansea University
issn 08957177
doi_str_mv 10.1016/j.mcm.2012.06.038
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 2013-12-31T03:15:21Z
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score 11.037056

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