COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION (Q3655554): Difference between revisions

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+MaRDI publication profile
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+.2090
@@ Property / arXiv ID: 1204.2090 / rank @@
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+Q3515750
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+Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
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+THE STOCHASTIC INTENSITY SSRD MODEL IMPLIED VOLATILITY PATTERNS FOR CREDIT DEFAULT SWAP OPTIONS AND THE IMPACT OF CORRELATION
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+Interest rate models -- theory and practice. With smile, inflation and credit
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+A General Formula for Valuing Defaultable Securities
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+Publication:3655554