Credit default swaps with and without counterparty and collateral adjustments

DOI10.1080/17442508.2011.571689zbMath1259.91084OpenAlexW2015300183MaRDI QIDQ3145079

David Shelton, Alexander Lipton-Lifschitz

Publication date: 13 December 2012

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2011.571689

zbMATH Keywords

mathematical financecredit default swapaffine jump-diffusioncredit value adjustments

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Two singular diffusion problems
• A Theory of the Term Structure of Interest Rates
• Boundary Values and Finite Difference Methods for the Single Factor Term Structure Equation
• Approximations to the non-central chi-square distribution
• Unnamed Item

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