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The pricing of single name credit default swap based on jump-diffusion process and volatility with Markov regime shift.

Xianghua LiuXueping Xiao
Published in: Int. J. Serv. Technol. Manag. (2014)
Keyphrases
  • financial markets
  • markov model
  • credit card
  • credit scoring
  • fraud detection
  • mechanism design