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Pricing credit default swaps with bilateral counterparty risk in a reduced form model with Markov regime switching.
Xue Liang
Guojing Wang
Hong Li
Published in:
Appl. Math. Comput. (2014)
Keyphrases
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formal model
probabilistic model
experimental data
computational model
dependence structure
markov model
mathematical model
cost function
supply chain
statistical model
objective function
em algorithm
neural network
theoretical framework
management system
markov process
social networks