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Pricing credit derivatives under a correlated regime-switching hazard processes model

  • * Corresponding author:Yinghui Dong

    * Corresponding author:Yinghui Dong 
The authors thank the anonymous referees for valuable comments to improve the earlier version of the paper. The first author is supported by the NSF of Jiangsu Province (Grant No. BK20130260), the NNSF of China (Grant No. 11301369) and Qing Lan Project. The second author is supported by a grant from the Research Grants Council of the Hong Kong Special Administrative Region, China (Project No. HKU 7057/13P), and the CAE 2013 research grant from the Society of Actuaries -any opinions, finding, and conclusions or recommendations expressed in this material are those of the authors and do not necessarily reflect the views of the SOA. The third author is supported by the NNSF of China (Grant No. 11371274).
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