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- Robert A. Jarrow & Stuart M. Turnbull, 2008.
"Pricing Derivatives on Financial Securities Subject to Credit Risk,"
World Scientific Book Chapters,in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 17, pages 377-409
World Scientific Publishing Co. Pte. Ltd..
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KeywordsDerivatives; credit derivatives; credit default swap; total return swap; credit linked note; constant maturity default swap; equity default swap; asset swap;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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