Pricing of swaps with default risk

DOI10.1007/BF01531336zbMATH Open1274.91422OpenAlexW3124173809MaRDI QIDQ375369FDOQ375369

Haitao Li

Publication date: 30 October 2013

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01531336

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zbMATH Keywords

credit riskcontingent claim analysiscurrency swapsinterest rate swaps

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Cites Work

• The pricing of options and corporate liabilities
• A theory of the term structure of interest rates
• The construction of hopscotch methods for parabolic and elliptic equations in two space dimensions with a mixed derivative
• Hopscotch: a Fast Second-order Partial Differential Equation Solver

Cited In (16)

• Total return swap valuation with counterparty risk and interest rate risk
• Title not available (Why is that?)
• Pricing model of interest rate swap with a bilateral default risk
• Borrowing cost reduction by interest rate swaps -- an option pricing analysis.
• Interest rate swap pricing with default risk under variance gamma process
• CASH-SETTLED SWAPTIONS: A NEW PRICING MODEL
• Pricing the risks of default
• Swap Pricing with Two-Sided Default Risk in a Rating-Based Model *
• PRICING-HEDGING DUALITY FOR CREDIT DEFAULT SWAPS AND THE NEGATIVE BASIS ARBITRAGE
• US corporate default swap valuation: the market liquidity hypothesis and autonomous credit risk
• A pricing model for secondary market yield based floating rate notes subject to default risk.
• Title not available (Why is that?)
• A double obstacle model for pricing bi-leg defaultable interest rate swaps
• A NOTE ON THE PRICING OF INDEX AMORTISING RATE SWAPS IN A WORST-CASE SCENARIO
• Credit default swaps with and without counterparty and collateral adjustments
• Title not available (Why is that?)

Uses Software

• Hopscotch

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