Valuation of credit default swaps and swaptions
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Publication:1776007
DOI10.1007/S00780-004-0122-YzbMATH Open1063.91034OpenAlexW1995684172MaRDI QIDQ1776007FDOQ1776007
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
Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44)
Cited In (29)
- Valuation of cross-currency Bermudan swaptions
- Financial models with defaultable numéraires
- Total return swap valuation with counterparty risk and interest rate risk
- Effects of Regime Switching on Pricing Credit Options in a Shifted CIR Model
- Modelling the evolution of credit spreads using the Cox process within the HJM framework: a CDS option pricing model
- The pricing of total return swap under default contagion models with jump-diffusion interest rate risk
- Enhancing credit default swap valuation with meshfree methods
- Affine stochastic mortality
- Pricing credit default swaps with bilateral counterparty risk in a reduced form model with Markov regime switching
- A counterparty valuation adjustment calculation model of multi-counterparties credit default swap
- NO-ARMAGEDDON MEASURE FOR ARBITRAGE-FREE PRICING OF INDEX OPTIONS IN A CREDIT CRISIS
- A dynamic programming approach for pricing CDS and CDS options
- Credit Default Swaps and Bank Regulatory Capital*
- AN EXACT FORMULA FOR DEFAULT SWAPTIONS’ PRICING IN THE SSRJD STOCHASTIC INTENSITY MODEL
- CONSTANT MATURITY TREASURY CONVEXITY CORRECTION
- Linear credit risk models
- Expectations of functions of stochastic time with application to credit risk modeling
- VALUATION OF CREDIT DEFAULT SWAPTIONS AND CREDIT DEFAULT INDEX SWAPTIONS
- On the robustness of longevity risk pricing
- BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA
- Hedging of a credit default swaption in the CIR default intensity model
- Credit default swaps: implied ratings versus official ones
- Credit risky securities valuation under a contagion model with interacting intensities
- Polynomial diffusion models for life insurance liabilities
- Implications of implicit credit spread volatilities on interest rate modelling
- Credit default swaps with and without counterparty and collateral adjustments
- Pricing of swaps with default risk
- A LÉVY-DRIVEN ORNSTEIN–UHLENBECK PROCESS FOR THE VALUATION OF CREDIT INDEX SWAPTIONS
- Title not available (Why is that?)
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