Pricing of swaps with default risk

DOI10.1007/BF01531336MaRDI QIDQ375369zbMATH OpenOpenAlexFDO

Authors Haitao Li

Publication date 30 October 2013

Published in Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf01531336

zbMATH Keywords

contingent claim analysiscredit riskcurrency swapsinterest rate swaps

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Recommendations

• Pricing model of interest rate swap with a bilateral default risk
• scientific article; zbMATH DE number 2011659
• Swap Pricing with Two-Sided Default Risk in a Rating-Based Model *
• Pricing and risk management of interest rate swaps
• Pricing credit default swaps with bilateral value adjustments
• Pricing and trading credit default swaps in a hazard process model
• Valuation of credit default swaps and swaptions
• An analytical formula for pricing \(m\)-th to default swaps
• Valuation of default swap with affine-type hazard rate
• Swaption pricing in affine and other models

Cites work

• A theory of the term structure of interest rates
• Hopscotch: a Fast Second-order Partial Differential Equation Solver
• The construction of hopscotch methods for parabolic and elliptic equations in two space dimensions with a mixed derivative
• The pricing of options and corporate liabilities

Cited in

(29)

• Credit risk exposure with respect and currency swaps
• Borrowing cost reduction by interest rate swaps -- an option pricing analysis.
• Interest rate swaps and corporate default
• Total return swap valuation with counterparty risk and interest rate risk
• The pricing of total return swap under default contagion models with jump-diffusion interest rate risk
• Valuing currency swap contracts in uncertain financial market
• Interest rate swap pricing with default risk under variance gamma process
• Restructuring risk in credit default swaps: an empirical analysis
• Pricing and risk management of interest rate swaps
• A NOTE ON THE PRICING OF INDEX AMORTISING RATE SWAPS IN A WORST-CASE SCENARIO
• Credit default swaps with and without counterparty and collateral adjustments
• CASH-SETTLED SWAPTIONS: A NEW PRICING MODEL
• US corporate default swap valuation: the market liquidity hypothesis and autonomous credit risk
• Foreign-currency interest-rate swaps in asset-liability management for insurers
• Pricing the risks of default
• Swap Pricing with Two-Sided Default Risk in a Rating-Based Model *
• scientific article; zbMATH DE number 1827978 (Why is no real title available?)
• scientific article; zbMATH DE number 6129240 (Why is no real title available?)
• Valuation of credit contingent interest rate swap
• Valuation of credit contingent interest rate swap with credit rating migration
• A double obstacle model for pricing bi-leg defaultable interest rate swaps
• PRICING-HEDGING DUALITY FOR CREDIT DEFAULT SWAPS AND THE NEGATIVE BASIS ARBITRAGE
• Default bond pricing models with exchange rate risk
• scientific article; zbMATH DE number 7071671 (Why is no real title available?)
• Currency total return swaps: valuation and risk factor analysis
• The value of the ‘swap’ feature in equity default swaps
• A pricing model for secondary market yield based floating rate notes subject to default risk.
• `Finem Lauda' or the risks in swaps
• Pricing model of interest rate swap with a bilateral default risk

Describes a project that uses

Uses Software

• Hopscotch

This page was built for publication: Pricing of swaps with default risk

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q375369)