Pages that link to "Item:Q1776023"

The following pages link to Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model (Q1776023):

Displaying 47 items.

• Pricing FX options in the Heston/CIR jump-diffusion model with log-normal and log-uniform jump amplitudes (Q274846) (← links)
• Bilateral credit valuation adjustment for large credit derivatives portfolios (Q468421) (← links)
• Hedging of a credit default swaption in the CIR default intensity model (Q483934) (← links)
• Enhancing credit default swap valuation with meshfree methods (Q635199) (← links)
• Participating life insurance policies: an accurate and efficient parallel software for COTS clusters (Q693200) (← links)
• Evaluation of counterparty risk for derivatives with early-exercise features (Q1657201) (← links)
• Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures (Q1749526) (← links)
• Semi-analytical formula for pricing bilateral counterparty risk of CDS with correlated credit risks (Q1753344) (← links)
• Recovering default risk from CDS spreads with a nonlinear filter (Q1994302) (← links)
• COVID-19 and credit risk: a long memory perspective (Q2138614) (← links)
• The Cox-Ingersoll-Ross model with delay and strong convergence of its Euler-Maruyama approximate solutions (Q2271413) (← links)
• On a positivity preserving numerical scheme for jump-extended CIR process: the alpha-stable case (Q2273199) (← links)
• Linear credit risk models (Q2282965) (← links)
• Parametric inference of autoregressive heteroscedastic models with errors in variables (Q2407522) (← links)
• Time-changed CIR default intensities with two-sided mean-reverting jumps (Q2448696) (← links)
• A note on the CIR process and the existence of equivalent martingale measures (Q2482116) (← links)
• A Structural Jump Threshold Framework for Credit Risk (Q2819097) (← links)
• An intensity-based approach for equity modeling (Q2862438) (← links)
• Sato Processes in Default Modelling (Q3063871) (← links)
• ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS (Q3100990) (← links)
• Pricing credit derivatives under stochastic recovery in a hybrid model (Q3103152) (← links)
• COUNTERPARTY RISK FOR CREDIT DEFAULT SWAP WITH STATES RELATED DEFAULT INTENSITY PROCESSES (Q3225032) (← links)
• On the discretization schemes for the CIR (and Bessel squared) processes (Q3367271) (← links)
• AN EXACT FORMULA FOR DEFAULT SWAPTIONS’ PRICING IN THE SSRJD STOCHASTIC INTENSITY MODEL (Q3576954) (← links)
• High order discretization schemes for the CIR process: Application to affine term structure and Heston models (Q3584774) (← links)
• COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION (Q3655554) (← links)
• VALUATION OF CREDIT DEFAULT SWAPTIONS AND CREDIT DEFAULT INDEX SWAPTIONS (Q3655556) (← links)
• A SUBORDINATED CIR INTENSITY MODEL WITH APPLICATION TO WRONG-WAY RISK CVA (Q4555855) (← links)
• WRONG-WAY RISK CVA MODELS WITH ANALYTICAL EPE PROFILES UNDER GAUSSIAN EXPOSURE DYNAMICS (Q4595298) (← links)
• PRICING SOVEREIGN CONTINGENT CONVERTIBLE DEBT (Q4645326) (← links)
• Semi-analytical Pricing of Currency Options in the Heston/CIR Jump-Diffusion Hybrid Model (Q4682470) (← links)
• A CLOSED-FORM EXTENSION TO THE BLACK-COX MODEL (Q4909138) (← links)
• CDS calibration under an extended JDCEV model (Q5031741) (← links)
• Mathematical analysis of a credit default swap with counterparty risks (Q5056722) (← links)
• GEOGRAPHICAL DIVERSIFICATION AND LONGEVITY RISK MITIGATION IN ANNUITY PORTFOLIOS (Q5152543) (← links)
• COCO BONDS PRICING WITH CREDIT AND EQUITY CALIBRATED FIRST-PASSAGE FIRM VALUE MODELS (Q5256831) (← links)
• Properties of the Cox–Ingersoll–Ross Interest Rate Processes with Two-sided Reflections (Q5259080) (← links)
• PRICING COUNTERPARTY RISK INCLUDING COLLATERALIZATION, NETTING RULES, RE-HYPOTHECATION AND WRONG-WAY RISK (Q5299993) (← links)
• FORWARD START OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES (Q5324401) (← links)
• NEW MODEL FOR PRICING QUANTO CREDIT DEFAULT SWAPS (Q5376999) (← links)
• MULTI-CURRENCY CREDIT DEFAULT SWAPS (Q5384682) (← links)
• Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates (Q5397431) (← links)
• A Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries (Q5419654) (← links)
• A SPREAD-RETURN MEAN-REVERTING MODEL FOR CREDIT SPREAD DYNAMICS (Q5420697) (← links)
• Credit portfolio selection with decaying contagion intensities (Q5743120) (← links)
• Affine term structure models: A time‐change approach with perfect fit to market curves (Q6054424) (← links)
• Wrong way risk corrections to CVA in CIR reduced-form models (Q6060556) (← links)