Hedging of a credit default swaption in the CIR default intensity model (Q483934): Difference between revisions

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+Monique Jeanblanc-Picqué
@@ Property / author: Monique Jeanblanc-Picqué / rank @@
+Normal rank
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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1007/s00780-010-0143-7
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@@ Property / OpenAlex ID @@
+W2105365253
@@ Property / OpenAlex ID: W2105365253 / rank @@
+Normal rank
@@ Property / cites work @@
+A dynamic programming approach for pricing CDS and CDS options
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+Credit risk: Modelling, valuation and hedging
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+Hedging of Credit Derivatives in Models with Totally Unexpected Default
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+Pricing and trading credit default swaps in a hazard process model
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+Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
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+AN EXACT FORMULA FOR DEFAULT SWAPTIONS’ PRICING IN THE SSRJD STOCHASTIC INTENSITY MODEL
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+Interest rate models -- theory and practice
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+On Models of Default Risk
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+What happens after a default: the conditional density approach
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+Valuation of credit default swaps and swaptions
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+Progressive enlargement of filtrations with initial times
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+NO-ARMAGEDDON MEASURE FOR ARBITRAGE-FREE PRICING OF INDEX OPTIONS IN A CREDIT CRISIS
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+Martingale methods in financial modelling.
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+VALUATION OF CREDIT DEFAULT SWAPTIONS AND CREDIT DEFAULT INDEX SWAPTIONS
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+A market model for stochastic implied volatility
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