A double obstacle model for pricing bi-leg defaultable interest rate swaps (Q5056713): Difference between revisions

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+https://doi.org/10.1017/s0956792519000184
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+Credit risk: Modelling, valuation and hedging
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+Mathematical analysis of a credit default swap with counterparty risks
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+A fully non-linear PDE problem from pricing CDS with counterparty risk
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+Swap Pricing with Two-Sided Default Risk in a Rating-Based Model *
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+On the information in the interest rate term structure and option prices
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+On Cox processes and credit risky securities
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+Pricing and risk management of interest rate swaps
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+Q127298466
@@ Property / Wikidata QID: Q127298466 / rank @@
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