scientific article; zbMATH DE number 5690108

MaRDI QIDQ3550879zbMATHFDO

Authors Aurélien Alfonsi

Publication date 7 April 2010

Full work available at URL http://pastel.paristech.org/1859/

zbMATH Keywords

American optionscredit riskdiscretization schemeCIRcall-put duality

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Credit risk (91G40)

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Cited in

(7)

• Default barrier intensity model for credit risk evaluation
• Credit risk valuation. Methods, models, and applications.
• THE STOCHASTIC INTENSITY SSRD MODEL IMPLIED VOLATILITY PATTERNS FOR CREDIT DEFAULT SWAP OPTIONS AND THE IMPACT OF CORRELATION
• Model Risk in Finance: Some Modeling and Numerical Analysis Issues
• Jacobi stochastic volatility factor for the LIBOR market model
• Credit-Risk Modelling
• Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model

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