Dear Spiral user, We’re pleased to introduce Helix, https://helix.imperial.ac.uk/ Imperial’s new repository for research datasets. Please use Helix for all future dataset deposits. There is no change to Spiral -continue depositing as usual. For queries, contact the Research Data Management team at rdm-enquiries@imperial.ac.uk. Kind regards, the Spiral Team.
 
An exact formula for default swaptions pricing in the SSRJD stochastic intensity model
File(s)
Author(s)
Brigo, D
El-Bachir, N
Type
Journal Article
Date Issued
2010
Citation
Mathematical Finance, 2010, 20 (3), pp.365-382
URI
DOI
ISSN
0960-1627
Publisher
WILEY-BLACKWELL
Start Page
365
End Page
382
Journal / Book Title
Mathematical Finance
Volume
20
Issue
3
Copyright Statement
© Copyright the Authors. Journal Compilation © 2010 Wiley Periodicals, Inc. This is the peer reviewed version of the following article: Brigo, D. and El-Bachir, N. (2010), AN EXACT FORMULA FOR DEFAULT SWAPTIONS’ PRICING IN THE SSRJD STOCHASTIC INTENSITY MODEL. Mathematical Finance, 20: 365–382, which has been published in final form at http://dx.doi.org/10.1111/j.1467-9965.2010.00401.x.  This article may be used for non-commercial purposes in accordance With Wiley Terms and Conditions for self-archiving.
License URL
Identifier
http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=000278524800003&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=1ba7043ffcc86c417c072aa74d649202
Publication Status
Published