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V. Linetsky, “Computing Hitting Time Densities for CIR and OU Diffusions: Applications to Mean-Reverting Models,” Journal of Computational Finance, Vol. 7, No. 4, 2004, pp. 1-22.

has been cited by the following article:

• TITLE: Valuation of a Tranched Loan Credit Default Swap Index

  AUTHORS: Jin Liang, Yujing Zhou

  KEYWORDS: LCDX, Default, Prepayment, Monte Carlo Method

  JOURNAL NAME: Technology and Investment, Vol.2 No.4, November 4, 2011

  ABSTRACT: This paper provides a methodology for valuing a Loan Credit Default Swap Index (LCDX) and its tranches involving both default and prepayment risks. The valuation is path dependence, where interest, default and prepayment rates are correlated stochastic processes following CIR processes. By Monte Carlo simulation, a numerical solution and team structure of tranched LCDX are obtained. Computing examples are provided.