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Counterparty risk and funding : immersion and beyond
Crépey, Stéphane; Song, Shiqi - In: Finance and stochastics 20 (2016) 4, pp. 901-930
Persistent link: https://www.econbiz.de/10011569906
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Linear credit risk models
Ackerer, Damien; Filipović, Damir - In: Finance and stochastics 24 (2020) 1, pp. 169-214
Persistent link: https://www.econbiz.de/10012253344
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Bilateral credit valuation adjustment for large credit derivatives portfolios
Bo, Lijun; Capponi, Agostino - In: Finance and stochastics 18 (2014) 2, pp. 431-482
Persistent link: https://www.econbiz.de/10010340674
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The impact of margin interest on the valuation of credit default swaps
Kan, Yu Hang; Pedersen, Claus - In: The journal of derivatives : the official publication … 20 (2012) 1, pp. 60-79
Persistent link: https://www.econbiz.de/10009671707
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Recent advances in default swap valuation
Cheng, Wai-yan - In: The journal of derivatives : the official publication … 9 (2001) 1, pp. 18-27
Persistent link: https://www.econbiz.de/10001618895
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Credit spread options valuation under GARCH
Tahani, Nabil - In: The journal of derivatives : the official publication … 14 (2006) 1, pp. 27-39
Persistent link: https://www.econbiz.de/10003379106
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Counterparty risk minimization by the optimal netting of OTC derivative trades
O'Kane, Dominic - In: The journal of derivatives : the official publication … 24 (2016) 2, pp. 48-65
Persistent link: https://www.econbiz.de/10011687335
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Valuation of credit default swaps and swaptions
Jamshidian, Farshid - In: Finance and stochastics 8 (2004) 3, pp. 343-371
Persistent link: https://www.econbiz.de/10002130315
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Valuation of CDO and an n-th default CDS without Monte Carlo simulation
Hull, John; White, Alan - In: The journal of derivatives : the official publication … 12 (2004) 2, pp. 8-23
Persistent link: https://www.econbiz.de/10002535939
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Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
Brigo, Damiano; Alfonsi, Aurélien - In: Finance and stochastics 9 (2005) 1, pp. 29-42
Persistent link: https://www.econbiz.de/10002497060