Pages that link to "Item:Q3655554"
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The following pages link to COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION (Q3655554):
Displayed 46 items.
- Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall-Olkin law (Q277273) (← links)
- Pricing derivatives with counterparty risk and collateralization: a fixed point approach (Q320989) (← links)
- Bilateral counterparty risk valuation on a CDS with a common shock model (Q479176) (← links)
- Counterparty risk for credit default swaps: Markov chain interacting intensities model with stochastic intensity (Q836966) (← links)
- Pricing credit default swaps under a multi-scale stochastic volatility model (Q1620315) (← links)
- Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement (Q1634318) (← links)
- Semi-analytical formula for pricing bilateral counterparty risk of CDS with correlated credit risks (Q1753344) (← links)
- The pricing of credit default swaps under a generalized mixed fractional Brownian motion (Q1782751) (← links)
- Unilateral counterparty risk valuation for CDS under a regime switching interacting intensities model (Q1934584) (← links)
- Optimal investment under multiple defaults risk: a BSDE-decomposition approach (Q1948694) (← links)
- Credit derivative evaluation and CVA under the benchmark approach (Q2013322) (← links)
- Analytical valuation of vulnerable European and Asian options in intensity-based models (Q2020536) (← links)
- Valuing fade-in options with default risk in Heston-Nandi GARCH models (Q2165384) (← links)
- An approximation formula for the price of credit default swaps under the fast-mean reversion volatility model. (Q2315470) (← links)
- An analytical approach for systematic risk sensitivity of structured finance products (Q2447506) (← links)
- PRICING AND HEDGING BARRIER OPTIONS IN A HYPER-EXPONENTIAL ADDITIVE MODEL (Q2786031) (← links)
- A versatile approach for stochastic correlation using hyperbolic functions (Q2804910) (← links)
- EXTREMAL DEPENDENCE FOR BILATERAL CREDIT VALUATION ADJUSTMENTS (Q2836220) (← links)
- A NOTE ON THE DOUBLE IMPACT ON CVA FOR CDS: WRONG-WAY RISK WITH STOCHASTIC RECOVERY (Q2841329) (← links)
- CHI-SQUARE SIMULATION OF THE CIR PROCESS AND THE HESTON MODEL (Q2841330) (← links)
- Numerical evaluation of complex logarithms in the Cox–Ingersoll–Ross model (Q2855741) (← links)
- Pricing credit default swaps with bilateral value adjustments (Q2879019) (← links)
- CONTAGION EFFECTS AND COLLATERALIZED CREDIT VALUE ADJUSTMENTS FOR CREDIT DEFAULT SWAPS (Q2941060) (← links)
- CVA AND FVA TO DERIVATIVES TRADES COLLATERALIZED BY CASH (Q2947349) (← links)
- RANDOM TIME FORWARD-STARTING OPTIONS (Q2953302) (← links)
- ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS (Q3100990) (← links)
- COUNTERPARTY RISK FOR CREDIT DEFAULT SWAP WITH STATES RELATED DEFAULT INTENSITY PROCESSES (Q3225032) (← links)
- A Multivariate Default Model with Spread and Event Risk (Q4585901) (← links)
- WRONG-WAY RISK CVA MODELS WITH ANALYTICAL EPE PROFILES UNDER GAUSSIAN EXPOSURE DYNAMICS (Q4595298) (← links)
- Modelling and Calibration of Stochastic Correlation in Finance (Q4626495) (← links)
- COUNTERPARTY RISK PRICING: IMPACT OF CLOSEOUT AND FIRST-TO-DEFAULT TIMES (Q4649502) (← links)
- Nonlinearity Valuation Adjustment (Q4689899) (← links)
- Nonlinear Monte Carlo Schemes for Counterparty Risk on Credit Derivatives (Q4689901) (← links)
- Tight Semi-model-free Bounds on (Bilateral) CVA (Q4689903) (← links)
- The Dynamic Correlation Model and Its Application to the Heston Model (Q4689924) (← links)
- FIRST-TO-DEFAULT AND SECOND-TO-DEFAULT OPTIONS IN MODELS WITH VARIOUS INFORMATION FLOWS (Q5010075) (← links)
- CREDIT DEFAULT SWAPS IN TWO-DIMENSIONAL MODELS WITH VARIOUS INFORMATIONS FLOWS (Q5114679) (← links)
- BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA (Q5175222) (← links)
- COCO BONDS PRICING WITH CREDIT AND EQUITY CALIBRATED FIRST-PASSAGE FIRM VALUE MODELS (Q5256831) (← links)
- PRICING COUNTERPARTY RISK INCLUDING COLLATERALIZATION, NETTING RULES, RE-HYPOTHECATION AND WRONG-WAY RISK (Q5299993) (← links)
- RESTRUCTURING COUNTERPARTY CREDIT RISK (Q5299996) (← links)
- MULTI-CURRENCY CREDIT DEFAULT SWAPS (Q5384682) (← links)
- VALUATION AND HEDGING OF CDS COUNTERPARTY EXPOSURE IN A MARKOV COPULA MODEL (Q5389101) (← links)
- CVA UNDER ALTERNATIVE SETTLEMENT CONVENTIONS AND WITH SYSTEMIC RISK (Q5746926) (← links)
- BILATERAL COUNTERPARTY RISK VALUATION OF CDS CONTRACTS WITH SIMULTANEOUS DEFAULTS (Q5746927) (← links)
- Credit default swap pricing with counterparty risk in a reduced form model with a common jump process (Q6162799) (← links)