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International Journal of Computer Mathematics Volume 97, 2020 - Issue 12
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Original Articles

Valuation of credit contingent interest rate swap with credit rating migration

Jin LiangSchool of Mathematical Sciences, Tongji University, Shanghai, ChinaView further author information
&
Hongchun ZouSchool of Mathematical Sciences, Tongji University, Shanghai, ChinaCorrespondence[email protected]
ORCID Iconhttps://orcid.org/0000-0001-5744-1374View further author information
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Pages 2546-2560 | Received 07 Mar 2019, Accepted 19 Dec 2019, Published online: 16 Jan 2020

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