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Valuation of CDS counterparty risk under a reduced-form model with regime-switching shot noise default intensities
Dong, Yinghui; Yuen, Kam Chuen; Wang, Guojing.
Frontiers of Mathematics in China; Dordrecht Vol. 12, Iss. 5, (Oct 2017): 1085-1112.
DOI:10.1007/s11464-017-0656-x
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