Credit Derivatives Pricing Model for Fuzzy Financial Market. (3rd November 2015)
- Record Type:
- Journal Article
- Title:
- Credit Derivatives Pricing Model for Fuzzy Financial Market. (3rd November 2015)
- Main Title:
- Credit Derivatives Pricing Model for Fuzzy Financial Market
- Authors:
- Wu, Liang
Zhuang, Yaming
Lin, Xiaojing - Other Names:
- Alfonzetti Salvatore Academic Editor.
- Abstract:
- Abstract : With various categories of fuzziness in the market, the factors that influence credit derivatives pricing include not only the characteristic of randomness but also nonrandom fuzziness. Thus, it is necessary to bring fuzziness into the process of credit derivatives pricing. Based on fuzzy process theory, this paper first brings fuzziness into credit derivatives pricing, discusses some pricing formulas of credit derivatives, and puts forward a One-Factor Fuzzy Copula function which builds a foundation for portfolio credit products pricing. Some numerical calculating samples are presented as well.
- Is Part Of:
- Mathematical problems in engineering. Volume 2015(2015)
- Journal:
- Mathematical problems in engineering
- Issue:
- Volume 2015(2015)
- Issue Display:
- Volume 2015, Issue 2015 (2015)
- Year:
- 2015
- Volume:
- 2015
- Issue:
- 2015
- Issue Sort Value:
- 2015-2015-2015-0000
- Page Start:
- Page End:
- Publication Date:
- 2015-11-03
- Subjects:
- Engineering mathematics -- Periodicals
510.2462 - Journal URLs:
- https://www.hindawi.com/journals/mpe/ ↗
http://www.gbhap-us.com/journals/238/238-top.htm ↗ - DOI:
- 10.1155/2015/879185 ↗
- Languages:
- English
- ISSNs:
- 1024-123X
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library HMNTS - ELD Digital store
- Ingest File:
- 10331.xml