Valuation of credit default swaps and swaptions
From MaRDI portal
Publication:1776007
DOI10.1007/s00780-004-0122-yzbMath1063.91034OpenAlexW1995684172MaRDI QIDQ1776007
Publication date: 20 May 2005
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-004-0122-y
Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)
Related Items (21)
Polynomial diffusion models for life insurance liabilities ⋮ A dynamic programming approach for pricing CDS and CDS options ⋮ Pricing credit default swaps with bilateral counterparty risk in a reduced form model with Markov regime switching ⋮ CONSTANT MATURITY TREASURY CONVEXITY CORRECTION ⋮ Modelling the evolution of credit spreads using the Cox process within the HJM framework: a CDS option pricing model ⋮ A LÉVY-DRIVEN ORNSTEIN–UHLENBECK PROCESS FOR THE VALUATION OF CREDIT INDEX SWAPTIONS ⋮ Implications of implicit credit spread volatilities on interest rate modelling ⋮ Effects of Regime Switching on Pricing Credit Options in a Shifted CIR Model ⋮ Credit risky securities valuation under a contagion model with interacting intensities ⋮ Total return swap valuation with counterparty risk and interest rate risk ⋮ On the robustness of longevity risk pricing ⋮ Hedging of a credit default swaption in the CIR default intensity model ⋮ The pricing of total return swap under default contagion models with jump-diffusion interest rate risk ⋮ AN EXACT FORMULA FOR DEFAULT SWAPTIONS’ PRICING IN THE SSRJD STOCHASTIC INTENSITY MODEL ⋮ BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA ⋮ Financial models with defaultable numéraires ⋮ Affine stochastic mortality ⋮ Linear credit risk models ⋮ EXPECTATIONS OF FUNCTIONS OF STOCHASTIC TIME WITH APPLICATION TO CREDIT RISK MODELING ⋮ NO-ARMAGEDDON MEASURE FOR ARBITRAGE-FREE PRICING OF INDEX OPTIONS IN A CREDIT CRISIS ⋮ VALUATION OF CREDIT DEFAULT SWAPTIONS AND CREDIT DEFAULT INDEX SWAPTIONS
This page was built for publication: Valuation of credit default swaps and swaptions
