Credit derivative evaluation and CVA under the benchmark approach
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Cites work
- scientific article; zbMATH DE number 5052232 (Why is no real title available?)
- A benchmark approach to quantitative finance
- BENCHMARKED RISK MINIMIZATION
- Counterparty risk for credit default swap with states related default intensity processes
- Counterparty risk for credit default swaps: impact of spread volatility and default correlation
- Functionals of multidimensional diffusions with applications to finance
- Martingale methods in financial modelling.
- Modelling, pricing, and hedging counterparty credit exposure. A technical guide
- Numerical solution of stochastic differential equations with jumps in finance
- Term-structure models. A graduate course
Cited in
(5)- Evaluation of credit derivatives with imperfect information
- Evaluation of credit value adjustment in K-forward
- Modeling credit value adjustment with downgrade-triggered termination clause using a ruin theoretic approach
- COLLATERALIZED CVA VALUATION WITH RATING TRIGGERS AND CREDIT MIGRATIONS
- Proxying credit curves via Wasserstein distances
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