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Article: Pricing credit derivatives under a correlated regime-switching hazard process

TitlePricing credit derivatives under a correlated regime-switching hazard process
Authors
KeywordsHazard process
Kth-to-default basket swap
Markov chain
Multivari ate regime-switching shot noise process
Issue Date2017
PublisherAmerican Institute of Mathematical Sciences. The Journal's web site is located at https://aimsciences.org/journals/home.jsp?journalID=5
Citation
Journal of Industrial and Management Optimization, 2017, v. 13 n. 3, p. 1395-1415 How to Cite?
Persistent Identifierhttp://hdl.handle.net/10722/227438
ISSN
2019 Impact Factor: 1.366
2015 SCImago Journal Rankings: 0.639
ISI Accession Number ID

 

DC FieldValueLanguage
dc.contributor.authorDong, Y-
dc.contributor.authorYuen, KC-
dc.contributor.authorWang, G-
dc.date.accessioned2016-07-18T09:10:30Z-
dc.date.available2016-07-18T09:10:30Z-
dc.date.issued2017-
dc.identifier.citationJournal of Industrial and Management Optimization, 2017, v. 13 n. 3, p. 1395-1415-
dc.identifier.issn1547-5816-
dc.identifier.urihttp://hdl.handle.net/10722/227438-
dc.languageeng-
dc.publisherAmerican Institute of Mathematical Sciences. The Journal's web site is located at https://aimsciences.org/journals/home.jsp?journalID=5-
dc.relation.ispartofJournal of Industrial and Management Optimization-
dc.rightsJournal of Industrial and Management Optimization. Copyright © American Institute of Mathematical Sciences.-
dc.rightsThis is a pre-copy-editing, author-produced PDF of an article accepted for publication in [insert journal title] following peer review. The definitive publisher-authenticated version [insert complete citation information here] is available online at: xxxxxxx [insert URL that the author will receive upon publication here].-
dc.subjectHazard process-
dc.subjectKth-to-default basket swap-
dc.subjectMarkov chain-
dc.subjectMultivari ate regime-switching shot noise process-
dc.titlePricing credit derivatives under a correlated regime-switching hazard process-
dc.typeArticle-
dc.identifier.emailYuen, KC: kcyuen@hku.hk-
dc.identifier.authorityYuen, KC=rp00836-
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.3934/jimo.2016079-
dc.identifier.scopuseid_2-s2.0-85021763122-
dc.identifier.hkuros258856-
dc.identifier.volume13-
dc.identifier.issue3-
dc.identifier.spage1395-
dc.identifier.epage1415-
dc.identifier.isiWOS:000402821200014-
dc.publisher.placeUnited States-
dc.identifier.issnl1547-5816-

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