Unilateral counterparty risk valuation for CDS under a regime switching interacting intensities model (Q1934584): Difference between revisions

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+Guo-jing Wang
@@ Property / author: Guo-jing Wang / rank @@
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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1007/s10690-012-9155-y
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+W1993414636
@@ Property / OpenAlex ID: W1993414636 / rank @@
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@@ Property / cites work @@
+COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION
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@@ Property / cites work @@
+AMERICAN OPTIONS WITH REGIME SWITCHING
@@ Property / cites work: AMERICAN OPTIONS WITH REGIME SWITCHING / rank @@
+Normal rank
@@ Property / cites work @@
+Modelling, pricing, and hedging counterparty credit exposure. A technical guide
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+New finite-dimensional filters and smoothers for noisily observed Markov chains
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+Q4323296
@@ Property / cites work: Q4323296 / rank @@
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@@ Property / cites work @@
+Option pricing and Esscher transform under regime switching
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+Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
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+Q4936390
@@ Property / cites work: Q4936390 / rank @@
+Normal rank
@@ Property / cites work @@
+Counterparty risk for credit default swaps: Markov chain interacting intensities model with stochastic intensity
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@@ Property / cites work @@
+Q3763448
@@ Property / cites work: Q3763448 / rank @@
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@@ Property / cites work @@
+The multivariate hazard construction
@@ Property / cites work: The multivariate hazard construction / rank @@
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+CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
@@ Property / cites work: CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS / rank @@
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