Credit derivatives in an affine framework

DOI10.1007/s10690-007-9055-8zbMath1151.91489OpenAlexW2127099805MaRDI QIDQ2471738

Damir Filipović, Li Chen

Publication date: 18 February 2008

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

Full work available at URL: https://doi.org/10.1007/s10690-007-9055-8

zbMATH Keywords

Credit derivativesAffine intensity based modelsCounterparty riskDefault dependence

Mathematics Subject Classification ID

Related Items (1)

Doubly Stochastic CDO Term Structures

Uses Software

• QRM

Cites Work

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• On Cox processes and credit risky securities
• Affine processes and applications in finance
• A simple model for credit migration and spread curves
• Equivalent and absolutely continuous measure changes for jump-diffusion processes
• DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS
• PRICING COUPON-BOND OPTIONS AND SWAPTIONS IN AFFINE TERM STRUCTURE MODELS
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Credit risk: Modelling, valuation and hedging

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