Valuation of CDS counterparty risk under a reduced-form model with regime-switching shot noise default intensities
Laplace transform、Markov chain、common shock、shot noise
12
F06;O4
The authors thank the anonymous referees for valuable comments to improve the earlier version of the paper.The research of Yinghui Dong was supported by the Natural Science Foundation of Jiangsu ProvinceGrant BK20170064;QingLan project.The research of Kam Chuen Yuen was supported by a grant from the Research Grants Council of the Hong Kong Special Administrative Region,ChinaProject HKU17329216;the CAE 2013 research grant from the Society of Actuaries-any opinions,finding,and conclusions or recommendations expressed in this material are those of the authors and do not necessarily reflect the views of the SOA.The research of Guojing Wang was supported by the National Natural Science FoundatGrant 11371274
2017-12-15（万方平台首次上网日期，不代表论文的发表时间）
共28页
1085-1112
