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~subject:"Volatilität"
~subject:"Finanzdienstleistung"
~isPartOf:"International journal of theoretical and applied finance"
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Search: subject_exact:"CDS (Credit Default Swap)"
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Volatilität
Finanzdienstleistung
Credit derivative
30
Kreditderivat
30
Credit risk
27
Kreditrisiko
27
Theorie
21
Theory
21
Derivat
16
Derivative
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Swap
13
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Stochastischer Prozess
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Option pricing theory
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Optionspreistheorie
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Credit insurance
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Financial services
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Multivariate Verteilung
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Multivariate distribution
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Volatility
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Markov chain
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counterparty risk
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credit default swap
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credit default swaps
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CAPM
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12
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Bielecki, Tomasz R.
2
Brigo, Damiano
2
Chege Maina, Samuel
1
Chiarella, Carl
1
Chourdakis, Kyriakos
1
Cialenco, Igor
1
Cousot, Laurent
1
Crépey, S.
1
Ehrhardt, Matthias
1
Feng, Shibi
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Frey, Rüdiger
1
Günther, Michael
1
Heider, Pascal
1
Hellmich, Martin
1
Jeanblanc, Monique
1
Kassberger, Stefan
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Li, Hui
1
Ng, Leslie
1
Nikitopoulos, Christina Sklibosios
1
Rösler, Lars
1
Schmidt, Wolfgang M.
1
Tang, Dan
1
Teng, Long
1
Wang, Yongjin
1
Zargari, B.
1
Zhou, Yuzhen
1
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International journal of theoretical and applied finance
Journal of banking & finance
12
International review of financial analysis
10
Finance research letters
8
The North American journal of economics and finance : a journal of financial economics studies
8
Economic modelling
7
Energy economics
7
The journal of futures markets
6
Applied economics
5
Quantitative finance
5
The journal of credit risk : published quarterly by Incisive Media
5
Journal of international financial markets, institutions & money
4
Journal of international money and finance
4
Research paper series / Swiss Finance Institute
4
The journal of corporate finance : contracting, governance and organization
4
Working paper / Department of Economics, Lund University
4
Finance and economics discussion series
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IMF working papers
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Journal of empirical finance
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Journal of financial and quantitative analysis : JFQA
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Journal of financial economics
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Journal of financial stability
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Mathematics and financial economics
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Research in international business and finance
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Review of finance : journal of the European Finance Association
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Applied mathematical finance
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Comparative economic research : Central and Eastern Europe
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DNB working paper
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Department of Economics discussion paper series / University of Oxford
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Discussion paper / Tinbergen Institute
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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International Journal of Financial Studies : open access journal
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International economics : a journal published by CEPII (Center for research and expertise on the world economy)
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International journal of finance & economics : IJFE
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International journal of financial engineering
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ECONIS (ZBW)
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1
A dynamic model of central counterparty risk
Bielecki, Tomasz R.
;
Cialenco, Igor
;
Feng, Shibi
- In:
International journal of theoretical and applied finance
21
(
2018
)
8
,
pp. 1-34
Persistent link: https://www.econbiz.de/10011970904
Saved in:
2
Contagion effects and collateralized credit value adjustments for credit default swaps
Frey, Rüdiger
;
Rösler, Lars
- In:
International journal of theoretical and applied finance
17
(
2014
)
7
,
pp. 1-29
Persistent link: https://www.econbiz.de/10010498864
Saved in:
3
Bilateral counterparty risk valuation of CDS contracts with simultaneous defaults
Teng, Long
;
Ehrhardt, Matthias
;
Günther, Michael
- In:
International journal of theoretical and applied finance
16
(
2013
)
7
,
pp. 1-20
Persistent link: https://www.econbiz.de/10010233305
Saved in:
4
Credit modeling under jump diffusions with exponentially distributed jumps : stable calibration, dynamics and GAP risk
Hellmich, Martin
;
Kassberger, Stefan
;
Schmidt, Wolfgang M.
- In:
International journal of theoretical and applied finance
16
(
2013
)
4
,
pp. 1-26
Persistent link: https://www.econbiz.de/10009779752
Saved in:
5
Credit derivatives pricing with stochastic volatility models
Chiarella, Carl
;
Chege Maina, Samuel
;
Nikitopoulos, …
- In:
International journal of theoretical and applied finance
16
(
2013
)
4
,
pp. 1-28
Persistent link: https://www.econbiz.de/10009779780
Saved in:
6
A note on the double impact on CVA for CDS : wrong-way risk with stochastic recovery
Li, Hui
- In:
International journal of theoretical and applied finance
16
(
2013
)
3
,
pp. 1-14
Persistent link: https://www.econbiz.de/10009756066
Saved in:
7
Numerical procedures for a wrong way risk model with lognormal Hazard rates and Gaussian interest rates
Ng, Leslie
- In:
International journal of theoretical and applied finance
16
(
2013
)
8
,
pp. 1-33
Persistent link: https://www.econbiz.de/10010243617
Saved in:
8
An implied volatility model determined by credit default swaps
Heider, Pascal
- In:
International journal of theoretical and applied finance
15
(
2012
)
7
,
pp. 1-21
Persistent link: https://www.econbiz.de/10009685890
Saved in:
9
Valuation and hedging of CDS counterparty exposure in a Markov copula model
Bielecki, Tomasz R.
;
Crépey, S.
;
Jeanblanc, Monique
; …
- In:
International journal of theoretical and applied finance
15
(
2012
)
1
,
pp. 1-39
Persistent link: https://www.econbiz.de/10009562148
Saved in:
10
Counterparty risk for Credit Default Swap with states related default intensity processes
Tang, Dan
;
Wang, Yongjin
;
Zhou, Yuzhen
- In:
International journal of theoretical and applied finance
14
(
2011
)
8
,
pp. 1335-1353
Persistent link: https://www.econbiz.de/10009541993
Saved in:
11
Counterparty risk for credit default swaps : impact of spread volatility and default correlation
Brigo, Damiano
;
Chourdakis, Kyriakos
- In:
International journal of theoretical and applied finance
12
(
2009
)
7
,
pp. 1007-1026
Persistent link: https://www.econbiz.de/10003928780
Saved in:
12
The stochastic intensity SSRD model implied volatility patterns for credit default swap options and the impact of correlation
Brigo, Damiano
;
Cousot, Laurent
- In:
International journal of theoretical and applied finance
9
(
2006
)
3
,
pp. 315-339
Persistent link: https://www.econbiz.de/10003344290
Saved in:
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