Total Return Swap Valuation with Counterparty Risk and Interest Rate Risk
Work
Year: 2014
Type: article
Abstract: We study the pricing of total return swap (TRS) under the contagion models with counterparty risk and the interest rate risk. We assume that interest rate follows Heath-Jarrow-Morton (HJM) forward int... more
Source: Abstract and Applied Analysis
Authors Anjiao Wang, Zhongxing Ye
Institutions Shanghai University of International Business and Economics, Shanghai Jiao Tong University
Cites: 25
Cited by: 3
Related to: 10
FWCI: 0.363
Citation percentile (by year/subfield): 71.01
Subfield: Finance
Domain: Social Sciences
Open Access status: gold
APC paid (est): $1,025
Funders National Natural Science Foundation of China, National Natural Science Foundation of China, National Natural Science Foundation of China
Grant IDS YC-XK-13106, 11171215, 11326168