Pricing the credit default swap rate for jump diffusion default intensity processes

Yong Ki Ma; Jeong Hoon Kim

doi:10.1080/14697680903382768

Pricing the credit default swap rate for jump diffusion default intensity processes

Yong Ki Ma, Jeong Hoon Kim

Department of Mathematics

Research output: Contribution to journal › Article › peer-review

15 Citations (Scopus)

Original language	English
Pages (from-to)	809-817
Number of pages	9
Journal	Quantitative Finance
Volume	10
Issue number	8
DOIs	https://doi.org/10.1080/14697680903382768
Publication status	Published - 2010

Bibliographical note

Funding Information:
We thank the anonymous referees for useful suggestions. We also acknowledge Prof. Jang for initial discussions on the paper while he was visiting Yonsei University in the summer of 2006. This work was supported by the BK21 Mathematical Sciences project at Yonsei university and a Seoul Science Fellowship (2008) to the first author, and by a Korea Sanhak Foundation grant (2008), and, in part, by the MKE and KIAT through the Workforce Development Program in Strategic Technology to the second author.

All Science Journal Classification (ASJC) codes

Finance
Economics, Econometrics and Finance(all)

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10.1080/14697680903382768

Cite this

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title = "Pricing the credit default swap rate for jump diffusion default intensity processes",

author = "Ma, {Yong Ki} and Kim, {Jeong Hoon}",

note = "Funding Information: We thank the anonymous referees for useful suggestions. We also acknowledge Prof. Jang for initial discussions on the paper while he was visiting Yonsei University in the summer of 2006. This work was supported by the BK21 Mathematical Sciences project at Yonsei university and a Seoul Science Fellowship (2008) to the first author, and by a Korea Sanhak Foundation grant (2008), and, in part, by the MKE and KIAT through the Workforce Development Program in Strategic Technology to the second author.",

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AU - Kim, Jeong Hoon

N1 - Funding Information: We thank the anonymous referees for useful suggestions. We also acknowledge Prof. Jang for initial discussions on the paper while he was visiting Yonsei University in the summer of 2006. This work was supported by the BK21 Mathematical Sciences project at Yonsei university and a Seoul Science Fellowship (2008) to the first author, and by a Korea Sanhak Foundation grant (2008), and, in part, by the MKE and KIAT through the Workforce Development Program in Strategic Technology to the second author.

PY - 2010

Y1 - 2010

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EP - 817

JO - Quantitative Finance

JF - Quantitative Finance

IS - 8

ER -

Pricing the credit default swap rate for jump diffusion default intensity processes

Bibliographical note

All Science Journal Classification (ASJC) codes

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