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

@@ Property / author @@
-Guo-jing Wang
@@ Property / author: Guo-jing Wang / rank @@
-Normal rank
@@ Property / author @@
+Guo-jing Wang
@@ Property / author: Guo-jing Wang / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1007/s10690-012-9155-y
+Normal rank
@@ Property / OpenAlex ID @@
+W1993414636
@@ Property / OpenAlex ID: W1993414636 / rank @@
+Normal rank
@@ Property / cites work @@
+COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION
+Normal rank
@@ 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
+Normal rank
@@ Property / cites work @@
+New finite-dimensional filters and smoothers for noisily observed Markov chains
+Normal rank
@@ Property / cites work @@
+Q4323296
@@ Property / cites work: Q4323296 / rank @@
+Normal rank
@@ Property / cites work @@
+Option pricing and Esscher transform under regime switching
+Normal rank
@@ Property / cites work @@
+Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
+Normal rank
@@ Property / cites work @@
+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
+Normal rank
@@ Property / cites work @@
+Q3763448
@@ Property / cites work: Q3763448 / rank @@
+Normal rank
@@ Property / cites work @@
+The multivariate hazard construction
@@ Property / cites work: The multivariate hazard construction / rank @@
+Normal rank
@@ Property / cites work @@
+CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
@@ Property / cites work: CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:1934584