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

Yong Ki Ma, Jeong Hoon Kim

Research output: Contribution to journalArticlepeer-review

15 Citations (Scopus)
Original languageEnglish
Pages (from-to)809-817
Number of pages9
JournalQuantitative Finance
Issue number8
Publication statusPublished - 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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