Pricing credit default swaps with bilateral value adjustments (Q2879019): Difference between revisions

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+.6049
@@ Property / arXiv ID: 1207.6049 / rank @@
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+Discrete credit barrier models
@@ Property / cites work: Discrete credit barrier models / rank @@
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+COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION
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+PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH
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+Primitives for the manipulation of general subdivisions and the computation of Voronoi
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+Modelling bonds and credit default swaps using a structural model with contagion
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+Double Lookbacks
@@ Property / cites work: Double Lookbacks / rank @@
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+Optimal capital structure and endogenous default
@@ Property / cites work: Optimal capital structure and endogenous default / rank @@
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+On the first passage problem for correlated Brownian motion
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+A reflection principle for correlated defaults
@@ Property / cites work: A reflection principle for correlated defaults / rank @@
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+ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM
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