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- Paper A Monte Carlo approach to American options pricing including counterparty risk 2022-02-16 Paper Total value adjustment for European options in a multi-currency...10 bytes (18 words) - 10:10, 8 December 2023
- NAMES 2014-07-17 Paper Counterparty Credit Risk, Collateral and Funding 2014-05-27 Paper ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION...10 bytes (17 words) - 20:21, 8 December 2023
- BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS 2014-04-23 Paper PRICING COUNTERPARTY RISK INCLUDING...10 bytes (16 words) - 01:58, 12 December 2023
- Type A Monte Carlo approach to American options pricing including counterparty risk 2022-02-16 Paper Corrigendum to ``Total value adjustment for a stochastic...10 bytes (16 words) - 03:09, 7 October 2023
- of counterparty risk 2015-05-27 Paper BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING 2015-02-20 Paper BILATERAL COUNTERPARTY RISK...10 bytes (16 words) - 10:39, 6 October 2023
- Publication Type Valuation of kth-to-default credit-linked notes with counterparty risk in a reduced-form model 2023-06-27 Paper Indifference pricing of credit...10 bytes (17 words) - 23:19, 11 December 2023
- bilateral counterparty risk in a reduced form model with Markov regime switching 2018-06-21 Paper Pricing catastrophe options with counterparty credit risk...10 bytes (17 words) - 00:43, 9 December 2023
- Paper Semi-analytical formula for pricing bilateral counterparty risk of CDS with correlated credit risks 2018-05-29 Paper Numerical algorithms for Panjer...10 bytes (17 words) - 17:42, 11 December 2023
- of Publication Type PRICING COUNTERPARTY RISK INCLUDING COLLATERALIZATION, NETTING RULES, RE-HYPOTHECATION AND WRONG-WAY RISK 2013-06-24 Paper ARBITRAGE-FREE...10 bytes (16 words) - 09:50, 6 October 2023
- multi-curve models with counterparty-risk valuation adjustments 2021-07-16 Paper Nonlinear Monte Carlo Schemes for Counterparty Risk on Credit Derivatives...10 bytes (18 words) - 03:37, 25 September 2023
- bank-enterprise counterparty credit risk contagion 2021-02-02 Paper Investor behavior, information disclosure strategy and counterparty credit risk contagion...10 bytes (17 words) - 19:29, 13 December 2023
- NAMES 2014-07-17 Paper Counterparty Credit Risk, Collateral and Funding 2014-05-27 Paper ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION...10 bytes (16 words) - 12:32, 24 September 2023
- with insider's initial information and counterparty risk 2015-01-19 Paper Optimal investment with counterparty risk: a default-density model approach 2014-12-18...10 bytes (16 words) - 03:47, 12 December 2023
- default probability under a structural credit risk model with jumps 2013-02-21 Paper Unilateral counterparty risk valuation for CDS under a regime switching...10 bytes (16 words) - 13:53, 6 October 2023
- DAILY HIGH, LOW, OPENING, AND CLOSING (HLOC) PRICES 2013-10-21 Paper COUNTERPARTY RISK PRICING: IMPACT OF CLOSEOUT AND FIRST-TO-DEFAULT TIMES 2012-11-22 Paper...10 bytes (16 words) - 05:09, 13 December 2023
- under correlation 2018-11-19 Paper Counterparty Credit Risk, Collateral and Funding 2014-05-27 Paper COUNTERPARTY RISK PRICING: IMPACT OF CLOSEOUT AND FIRST-TO-DEFAULT...10 bytes (16 words) - 11:20, 6 October 2023
- volatility and interest rates in counterparty credit risk 2018-11-13 Paper Incorporating contagion in portfolio credit risk models using network theory 2018-01-29...10 bytes (16 words) - 16:34, 12 December 2023
- Publication Date of Publication Type Counterparty risk, central counterparty clearing and aggregate risk 2017-11-30 Paper...10 bytes (16 words) - 12:31, 24 September 2023
- Process and Its Application to the Valuation of Credit Risk 2014-08-08 Paper Unilateral counterparty risk valuation of CDS using a regime-switching intensity...10 bytes (16 words) - 15:30, 6 October 2023
- portfolio allocation with volatility and co-jump risk that Markowitz would like 2018-11-16 Paper Credit risk in an economy with new firms arrivals 2018-03-28...10 bytes (16 words) - 16:03, 11 December 2023
