Valuation of credit default swaps and swaptions

DOI10.1007/S00780-004-0122-YzbMATH Open1063.91034OpenAlexW1995684172MaRDI QIDQ1776007FDOQ1776007

Authors: Farshid Jamshidian 

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

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zbMATH Keywords

recoveryconditional survival probabilityprenumeraireprepricesubfiltration

Mathematics Subject Classification ID

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 (34)

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• Credit default swaps: implied ratings versus official ones
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• Credit risky securities valuation under a contagion model with interacting intensities
• A multinomial tree model for pricing credit default swap options
• Polynomial diffusion models for life insurance liabilities
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• Credit default swaps with and without counterparty and collateral adjustments
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• No-armageddon measure for arbitrage-free pricing of index options in a credit crisis
• Pricing credit default swaps with a random recovery rate by a double inverse Fourier transform
• Title not available (Why is that?)

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