Credit default swap pricing with counterparty risk in a reduced form model with a common jump process
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Publication:6162799
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Cites work
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- Basket CDS pricing with interacting intensities
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- Introducing fuzziness in CDS pricing under a structural model
- On Cox processes and credit risky securities
- On the single name CDS price under structural modeling
- Pricing credit default swaps under a multi-scale stochastic volatility model
- Pricing European call options under a hard-to-borrow stock model
- Pricing foreign exchange options under a hybrid Heston-Cox-Ingersoll-Ross model with regime switching
- Stochastic differential equations. An introduction with applications.
- Weak convergence of path-dependent SDEs in basket credit default swap pricing with contagion risk
Cited in
(19)- Pricing catastrophe options with counterparty credit risk in a reduced form model
- Pricing credit default swaps with bilateral counterparty risk in a reduced form model with Markov regime switching
- A new default probability calculation formula and its application under uncertain environments
- Semi-analytical formula for pricing bilateral counterparty risk of CDS with correlated credit risks
- The valuation of multi-counterparties CDS with credit rating migration
- Research on CDS pricing model with endogenous recovery rate
- An approximation formula for the price of credit default swaps under the fast-mean reversion volatility model.
- Pricing the credit default swap rate for jump diffusion default intensity processes
- A multivariate jump diffusion process for counterparty risk in CDS rates
- Reduced-Form Modeling of Counterparty Risk on Credit Derivatives
- Counterparty risk for credit default swap with states related default intensity processes
- A reduced-form model for pricing defaultable bonds and credit default swaps with stochastic recovery
- Mathematical analysis of a credit default swap with counterparty risks
- An analytical approximation formula for the pricing of credit default swaps with regime switching
- Partial differential equation pricing method for double-name credit-linked notes with counterparty risk in a reduced-form model with common shocks
- The model for CDS pricing based on the Gaussian copula method
- The intensity model for pricing credit securities with jump diffusion and counterparty risk
- The research of the short term price of a credit default swap in a jump diffusion model with two-sided exponentially distributed jump
- Counterparty risk valuation of k th-to-default credit-linked notes with contagion risk
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