Valuation of credit default swap

zbMATH Open1174.91009MaRDI QIDQ5456090FDOQ5456090

Author name not available (Why is that?)

Publication date: 4 April 2008

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zbMATH Keywords

credit default swapstructural methoddefault probability density

Mathematics Subject Classification ID

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

Cited In (4)

• Valuation of credit default swaps and swaptions
• Valuation of portfolio credit derivatives with default intensities using the Vasicek model
• Credit default swaps: implied ratings versus official ones
• Valuation of basket credit default swaps by the partial differential equation method

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