Notice of Retraction: The PIDE pricing model of interest rate swap with default risk under Variance Gamma process

2010 ◽  
Author(s):  
Xiaofeng Yang ◽  
Jinping Yu ◽  
Shenghong Li ◽  
Albert Jerry Cristoforo
Keyword(s):  
Interest Rate ◽  
Default Risk ◽  
Gamma Process ◽  
Pricing Model ◽  
Variance Gamma ◽  
Interest Rate Swap ◽  
Variance Gamma Process ◽  
Rate Swap

scholarly journals Pricing model of interest rate swap with a bilateral default risk

2010 ◽  
Vol 234 (2) ◽  
pp. 512-517 ◽  
Author(s):  
Xiaofeng Yang ◽  
Jinping Yu ◽  
Shenghong Li ◽  
Albert Jerry Cristoforo ◽  
Xiaohu Yang
Keyword(s):  
Interest Rate ◽  
Default Risk ◽  
Pricing Model ◽  
Interest Rate Swap ◽  
Rate Swap
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