scientific article; zbMATH DE number 7088123

MaRDI QIDQ5226701zbMATH OpenFDO

Authors J. C. Hull, Alan White

Publication date 1 August 2019

Mathematics Subject Classification ID

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

Cited in

(7)

• PRICING-HEDGING DUALITY FOR CREDIT DEFAULT SWAPS AND THE NEGATIVE BASIS ARBITRAGE
• Analytical pricing of vulnerable options under a generalized jump-diffusion model
• Deriving implied risk-free interest rates from bond and CDS quotes: a model-independent approach
• Credit default swaps with and without counterparty and collateral adjustments
• The inverse first passage time problem for killed Brownian motion
• Pricing vulnerable power exchange options in an intensity based framework
• On the single name CDS price under structural modeling

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