Asymptotic analysis for one-name credit derivatives
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Publication:2015749
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Cites work
- A unified framework for pricing credit and equity derivatives
- Credit risk: Modelling, valuation and hedging
- Multiscale Intensity Models for Single Name Credit Derivatives
- Multiscale Stochastic Volatility Asymptotics
- Multiscale stochastic volatility for equity, interest rate, and credit derivatives.
- On Cox processes and credit risky securities
- Optimal capital structure and endogenous default
- Pricing interest-rate-derivative securities
- Pricing of Multi‐Defaultable Bonds with a Two‐Correlated‐Factor Hull–White Model
- Pricing the credit default swap rate for jump diffusion default intensity processes
- Pricing the risks of default
- Stochastic Volatility Corrections for Interest Rate Derivatives
- Stochastic differential equations. An introduction with applications.
- Term Structures of Credit Spreads with Incomplete Accounting Information
- Term structure modelling of defaultable bonds
Cited in
(4)- Valuation of credit derivatives with multiple time scales in the intensity model
- Multiscale Intensity Models for Single Name Credit Derivatives
- Pricing derivatives using the asymptotic expansion approach: credit migration models with stochastic credit spreads
- Approximate formulae for pricing zero-coupon bonds and their asymptotic analysis
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