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

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