Valuation of credit default swap

zbMATH Open1174.91009MaRDI QIDQ5456090FDOQ5456090

Authors:

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 (13)

• Valuation of mortgage loan CDS
• Valuation of credit default swaptions and credit default index swaptions
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• The pricing of credit default swaps under a Markov-modulated Merton's structural model
• Valuation of portfolio credit derivatives with default intensities using the Vasicek model
• Credit default swaps: implied ratings versus official ones
• A multinomial tree model for pricing credit default swap options
• Modelling bonds and credit default swaps using a structural model with contagion
• An analytic approach of valuing \(n\)th-to-default swaps
• Valuation of basket credit default swaps by the partial differential equation method
• Flexing the default barrier
• Pricing credit default swaps with a random recovery rate by a double inverse Fourier transform

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