{"id":"https://openalex.org/W22204752","doi":"https://doi.org/10.1007/978-3-642-22833-9_26","title":"Pricing CDS with Jump-Diffusion Risk in the Intensity-Based Model","display_name":"Pricing CDS with Jump-Diffusion Risk in the Intensity-Based Model","publication_year":2011,"publication_date":"2011-01-01","ids":{"openalex":"https://openalex.org/W22204752","doi":"https://doi.org/10.1007/978-3-642-22833-9_26","mag":"22204752"},"language":"en","primary_location":{"id":"doi:10.1007/978-3-642-22833-9_26","is_oa":false,"landing_page_url":"https://doi.org/10.1007/978-3-642-22833-9_26","pdf_url":null,"source":{"id":"https://openalex.org/S4210208846","display_name":"Advances in intelligent and soft computing","issn_l":"1867-5662","issn":["1867-5662","1867-5670"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"book series"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Advances in Intelligent and Soft Computing","raw_type":"book-chapter"},"type":"book-chapter","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5109295912","display_name":"Ruili Hao","orcid":null},"institutions":[{"id":"https://openalex.org/I183067930","display_name":"Shanghai Jiao Tong University","ror":"https://ror.org/0220qvk04","country_code":"CN","type":"education","lineage":["https://openalex.org/I183067930"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Ruili Hao","raw_affiliation_strings":["Department of Mathematics, Shanghai Jiaotong University, No.800 Dongchuan Road, Shanghai, 200240, China","Shanghai JiaoTong University"],"affiliations":[{"raw_affiliation_string":"Department of Mathematics, Shanghai Jiaotong University, No.800 Dongchuan Road, Shanghai, 200240, China","institution_ids":["https://openalex.org/I183067930"]},{"raw_affiliation_string":"Shanghai JiaoTong University","institution_ids":["https://openalex.org/I183067930"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5112535563","display_name":"Zhongxing Ye","orcid":null},"institutions":[{"id":"https://openalex.org/I183067930","display_name":"Shanghai Jiao Tong University","ror":"https://ror.org/0220qvk04","country_code":"CN","type":"education","lineage":["https://openalex.org/I183067930"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Zhongxing Ye","raw_affiliation_strings":["Department of Mathematics, Shanghai Jiaotong University, No.800 Dongchuan Road, Shanghai, 200240, China","Shanghai JiaoTong University"],"affiliations":[{"raw_affiliation_string":"Department of Mathematics, Shanghai Jiaotong University, No.800 Dongchuan Road, Shanghai, 200240, China","institution_ids":["https://openalex.org/I183067930"]},{"raw_affiliation_string":"Shanghai JiaoTong University","institution_ids":["https://openalex.org/I183067930"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5109295912"],"corresponding_institution_ids":["https://openalex.org/I183067930"],"apc_list":null,"apc_paid":null,"fwci":1.2188,"has_fulltext":false,"cited_by_count":2,"citation_normalized_percentile":{"value":0.82092506,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":94},"biblio":{"volume":null,"issue":null,"first_page":"221","last_page":"229"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.9995999932289124,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.9995999932289124,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.998199999332428,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10127","display_name":"Banking stability, regulation, efficiency","score":0.9929999709129333,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/credit-risk","display_name":"Credit risk","score":0.7994670867919922},{"id":"https://openalex.org/keywords/jump-diffusion","display_name":"Jump diffusion","score":0.7323234677314758},{"id":"https://openalex.org/keywords/credit-valuation-adjustment","display_name":"Credit valuation adjustment","score":0.6227567195892334},{"id":"https://openalex.org/keywords/jump","display_name":"Jump","score":0.4820902645587921},{"id":"https://openalex.org/keywords/default","display_name":"Default","score":0.481652170419693},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.4754102826118469},{"id":"https://openalex.org/keywords/counterparty","display_name":"Counterparty","score":0.47213131189346313},{"id":"https://openalex.org/keywords/credit-derivative","display_name":"Credit derivative","score":0.4560298025608063},{"id":"https://openalex.org/keywords/intensity","display_name":"Intensity (physics)","score":0.4333771765232086},{"id":"https://openalex.org/keywords/cox-process","display_name":"Cox process","score":0.42746371030807495},{"id":"https://openalex.org/keywords/credit-default-swap","display_name":"Credit default swap","score":0.41486528515815735},{"id":"https://openalex.org/keywords/bond","display_name":"Bond","score":0.4102843403816223},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.367995947599411},{"id":"https://openalex.org/keywords/actuarial-science","display_name":"Actuarial science","score":0.2780848741531372},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.27363747358322144},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.11059653759002686},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.10112640261650085},{"id":"https://openalex.org/keywords/physics","display_name":"Physics","score":0.07740530371665955}],"concepts":[{"id":"https://openalex.org/C178350159","wikidata":"https://www.wikidata.org/wiki/Q162714","display_name":"Credit risk","level":2,"score":0.7994670867919922},{"id":"https://openalex.org/C2779664328","wikidata":"https://www.wikidata.org/wiki/Q6311158","display_name":"Jump diffusion","level":3,"score":0.7323234677314758},{"id":"https://openalex.org/C89997419","wikidata":"https://www.wikidata.org/wiki/Q2828882","display_name":"Credit valuation adjustment","level":4,"score":0.6227567195892334},{"id":"https://openalex.org/C2780695682","wikidata":"https://www.wikidata.org/wiki/Q4005959","display_name":"Jump","level":2,"score":0.4820902645587921},{"id":"https://openalex.org/C69637215","wikidata":"https://www.wikidata.org/wiki/Q702362","display_name":"Default","level":2,"score":0.481652170419693},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4754102826118469},{"id":"https://openalex.org/C2779312582","wikidata":"https://www.wikidata.org/wiki/Q1783272","display_name":"Counterparty","level":3,"score":0.47213131189346313},{"id":"https://openalex.org/C44309892","wikidata":"https://www.wikidata.org/wiki/Q691313","display_name":"Credit derivative","level":3,"score":0.4560298025608063},{"id":"https://openalex.org/C93038891","wikidata":"https://www.wikidata.org/wiki/Q1061524","display_name":"Intensity (physics)","level":2,"score":0.4333771765232086},{"id":"https://openalex.org/C155051063","wikidata":"https://www.wikidata.org/wiki/Q1290919","display_name":"Cox process","level":4,"score":0.42746371030807495},{"id":"https://openalex.org/C30589699","wikidata":"https://www.wikidata.org/wiki/Q624028","display_name":"Credit default swap","level":3,"score":0.41486528515815735},{"id":"https://openalex.org/C69738904","wikidata":"https://www.wikidata.org/wiki/Q11693","display_name":"Bond","level":2,"score":0.4102843403816223},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.367995947599411},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.2780848741531372},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.27363747358322144},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.11059653759002686},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.10112640261650085},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.07740530371665955},{"id":"https://openalex.org/C100906024","wikidata":"https://www.wikidata.org/wiki/Q205692","display_name":"Poisson distribution","level":2,"score":0.0},{"id":"https://openalex.org/C166144826","wikidata":"https://www.wikidata.org/wiki/Q1145117","display_name":"Poisson process","level":3,"score":0.0},{"id":"https://openalex.org/C24308983","wikidata":"https://www.wikidata.org/wiki/Q5183781","display_name":"Credit reference","level":3,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1007/978-3-642-22833-9_26","is_oa":false,"landing_page_url":"https://doi.org/10.1007/978-3-642-22833-9_26","pdf_url":null,"source":{"id":"https://openalex.org/S4210208846","display_name":"Advances in intelligent and soft computing","issn_l":"1867-5662","issn":["1867-5662","1867-5670"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"book series"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Advances in Intelligent and Soft Computing","raw_type":"book-chapter"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":20,"referenced_works":["https://openalex.org/W1988863269","https://openalex.org/W2006804758","https://openalex.org/W2024264543","https://openalex.org/W2032508175","https://openalex.org/W2058032704","https://openalex.org/W2096145896","https://openalex.org/W2105973145","https://openalex.org/W2132072990","https://openalex.org/W3121578515","https://openalex.org/W3121673657","https://openalex.org/W3122084409","https://openalex.org/W3122403904","https://openalex.org/W3122906726","https://openalex.org/W3123258340","https://openalex.org/W3123762652","https://openalex.org/W3124120707","https://openalex.org/W3125744792","https://openalex.org/W4247660097","https://openalex.org/W4255287478","https://openalex.org/W4256064418"],"related_works":["https://openalex.org/W1864548409","https://openalex.org/W4232579134","https://openalex.org/W70462951","https://openalex.org/W2118383063","https://openalex.org/W2618665466","https://openalex.org/W2487657577","https://openalex.org/W281084668","https://openalex.org/W3122321985","https://openalex.org/W3122656840","https://openalex.org/W3121634153"],"abstract_inverted_index":null,"counts_by_year":[{"year":2016,"cited_by_count":1},{"year":2014,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}