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Pricing of Basket CDS with Bilateral Default Risk under Vasicek Model with Circular Contagion
Mathematical Problems in Engineering,
2023
DOI:10.1155/2023/8960259
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Interest rate derivatives for the fractional Cox-Ingersoll-Ross model
Algorithmic Finance,
2023
DOI:10.3233/AF-220467
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Interest rate derivatives for the fractional Cox-Ingersoll-Ross model
Algorithmic Finance,
2023
DOI:10.3233/AF-220467
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Basket Credit Default Swap Pricing with Two Defaultable Counterparties
Discrete Dynamics in Nature and Society,
2022
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Estimating Drift Parameters in a Sub-Fractional Vasicek-Type Process
Entropy,
2022
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Maximum likelihood estimation for sub-fractional Vasicek model
Random Operators and Stochastic Equations,
2021
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Optimal rates for the parameter prediction of a Gaussian Vasicek process
The European Physical Journal Plus,
2021
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Maximum likelihood estimation for sub-fractional Vasicek model
Random Operators and Stochastic Equations,
2021
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Maximum likelihood estimation in the non-ergodic fractional Vasicek model
Modern Stochastics: Theory and Applications,
2019
DOI:10.15559/19-VMSTA140
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The First Outstanding 50 Years of “Università Politecnica delle Marche”
2019
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Pricing credit derivatives under fractional stochastic interest rate models with jumps
Journal of Systems Science and Complexity,
2017
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Pricing credit default swap with contagious risk and simulation
Journal of Shanghai Jiaotong University (Science),
2016
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A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion
Chaos, Solitons & Fractals,
2016
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Attenuated Model of Pricing Credit Default Swap under the Fractional Brownian Motion Environment
Journal of Mathematical Finance,
2016
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Pricing Loan CDS with Vasicek Interest Rate under the Contagious Model
Journal of Mathematical Finance,
2016
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CDS pricing with long memory via fractional Lévy processes
Journal of Financial Engineering,
2014
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