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Modelling bonds and credit default swaps using a structural model with contagion

Haworth, Helen; Reisinger, Christoph; Shaw, William - In: Quantitative Finance 8 (2008) 7, pp. 669-680

This paper develops a two-dimensional structural framework for valuing credit default swaps and corporate bonds in the presence of default contagion. Modelling the values of related firms as correlated geometric Brownian motions with exponential default barriers, analytical formulae are obtained...

Persistent link: https://www.econbiz.de/10005462642

A mixed Monte Carlo and partial differential equation variance reduction method for foreign exchange options under the Heston-Cox-Ingersoll-Ross model

Cozma, Andrei; Reisinger, Christoph - In: The journal of computational finance 20 (2016/2017) 3, pp. 109-149

Persistent link: https://www.econbiz.de/10011689688

Transition probability of Brownian motion in the octant and its application to default modelling

Kaushansky, Vadim; Lipton, Alexander; Reisinger, Christoph - In: Applied mathematical finance 25 (2018) 5/6, pp. 434-465

Persistent link: https://www.econbiz.de/10012129173

Calibration of local-stochastic and path-dependent volatility models to vanilla and no-touch options

Bain, Alan; Mariapragassam, Matthieu; Reisinger, Christoph - In: The journal of computational finance 24 (2021) 4, pp. 115-161

Persistent link: https://www.econbiz.de/10012544167

Detecting and repairing arbitrage in traded option prices

Cohen, Samuel N.; Reisinger, Christoph; Wang, Sheng - In: Applied mathematical finance 27 (2020) 5, pp. 345-373

Persistent link: https://www.econbiz.de/10012501620

Efficient exposure computation by risk factor decomposition

Graaf, Cornelis S. L. de; Kandhai, D.; Reisinger, Christoph - In: Quantitative finance 18 (2018) 10, pp. 1657-1678

Persistent link: https://www.econbiz.de/10012259857

Hedging option books using neural-sde market models

Cohen, Samuel N.; Reisinger, Christoph; Wang, Sheng - In: Applied mathematical finance 29 (2022) 5, pp. 366-401

Persistent link: https://www.econbiz.de/10014323483

Estimating risks of European option books using neural stochastic differential equation market models

Cohen, Samuel N.; Reisinger, Christoph; Wang, Sheng - In: The journal of computational finance 26 (2022) 3, pp. 33-72

Persistent link: https://www.econbiz.de/10014314556