THE STOCHASTIC INTENSITY SSRD MODEL IMPLIED VOLATILITY PATTERNS FOR CREDIT DEFAULT SWAP OPTIONS AND THE IMPACT OF CORRELATION
DOI10.1142/S0219024906003597zbMATH Open1154.91429OpenAlexW1975400882MaRDI QIDQ5483441FDOQ5483441
Authors: Damiano Brigo, Laurent Cousot 
Publication date: 14 August 2006
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024906003597
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Cites Work
Cited In (7)
- Sato processes in default modelling
- Affine term structure models: A time‐change approach with perfect fit to market curves
- A dynamic programming approach for pricing CDS and CDS options
- A general Gaussian interest rate model consistent with the current term structure
- Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
- Counterparty risk for credit default swaps: impact of spread volatility and default correlation
- Bilateral counterparty risk valuation of CDS contracts with simultaneous defaults
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