Credit derivative evaluation and CVA under the benchmark approach

DOI10.1007/S10690-015-9204-4zbMATH Open1368.91178OpenAlexW1997433831MaRDI QIDQ2013322FDOQ2013322

Authors: Jan Baldeaux, Eckhard Platen 

Publication date: 17 August 2017

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10453/37603

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zbMATH Keywords

affine processescredit valuation adjustmentcredit derivativesbenchmark approachreal world pricing

Mathematics Subject Classification ID

Credit risk (91G40)

Cites Work

• Numerical solution of stochastic differential equations with jumps in finance
• Martingale methods in financial modelling.
• Counterparty risk for credit default swaps: impact of spread volatility and default correlation
• Term-structure models. A graduate course
• A benchmark approach to quantitative finance
• Modelling, pricing, and hedging counterparty credit exposure. A technical guide
• Functionals of multidimensional diffusions with applications to finance
• BENCHMARKED RISK MINIMIZATION
• COUNTERPARTY RISK FOR CREDIT DEFAULT SWAP WITH STATES RELATED DEFAULT INTENSITY PROCESSES
• Title not available (Why is that?)

Cited In (2)

• Evaluation of credit derivatives with imperfect information
• COLLATERALIZED CVA VALUATION WITH RATING TRIGGERS AND CREDIT MIGRATIONS

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