File Download
There are no files associated with this item.
Links for fulltext
(May Require Subscription)
- Publisher Website: 10.3934/jimo.2016079
- Scopus: eid_2-s2.0-85021763122
- WOS: WOS:000402821200014
- Find via
Supplementary
- Citations:
- Appears in Collections:
Article: Pricing credit derivatives under a correlated regime-switching hazard process
| Title | Pricing credit derivatives under a correlated regime-switching hazard process |
|---|---|
| Authors | |
| Keywords | Hazard process Kth-to-default basket swap Markov chain Multivari ate regime-switching shot noise process |
| Issue Date | 2017 |
| Publisher | American 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 Identifier | http://hdl.handle.net/10722/227438 |
| ISSN | 2023 Impact Factor: 1.2 2023 SCImago Journal Rankings: 0.364 |
| ISI Accession Number ID |
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Dong, Y | - |
| dc.contributor.author | Yuen, KC | - |
| dc.contributor.author | Wang, G | - |
| dc.date.accessioned | 2016-07-18T09:10:30Z | - |
| dc.date.available | 2016-07-18T09:10:30Z | - |
| dc.date.issued | 2017 | - |
| dc.identifier.citation | Journal of Industrial and Management Optimization, 2017, v. 13 n. 3, p. 1395-1415 | - |
| dc.identifier.issn | 1547-5816 | - |
| dc.identifier.uri | http://hdl.handle.net/10722/227438 | - |
| dc.language | eng | - |
| dc.publisher | American Institute of Mathematical Sciences. The Journal's web site is located at https://aimsciences.org/journals/home.jsp?journalID=5 | - |
| dc.relation.ispartof | Journal of Industrial and Management Optimization | - |
| dc.rights | Journal of Industrial and Management Optimization. Copyright © American Institute of Mathematical Sciences. | - |
| dc.rights | This 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.subject | Hazard process | - |
| dc.subject | Kth-to-default basket swap | - |
| dc.subject | Markov chain | - |
| dc.subject | Multivari ate regime-switching shot noise process | - |
| dc.title | Pricing credit derivatives under a correlated regime-switching hazard process | - |
| dc.type | Article | - |
| dc.identifier.email | Yuen, KC: kcyuen@hku.hk | - |
| dc.identifier.authority | Yuen, KC=rp00836 | - |
| dc.description.nature | link_to_subscribed_fulltext | - |
| dc.identifier.doi | 10.3934/jimo.2016079 | - |
| dc.identifier.scopus | eid_2-s2.0-85021763122 | - |
| dc.identifier.hkuros | 258856 | - |
| dc.identifier.volume | 13 | - |
| dc.identifier.issue | 3 | - |
| dc.identifier.spage | 1395 | - |
| dc.identifier.epage | 1415 | - |
| dc.identifier.isi | WOS:000402821200014 | - |
| dc.publisher.place | United States | - |
| dc.identifier.issnl | 1547-5816 | - |