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Arbitrage-free valuation of bilateral counterparty risk for interest-rate products : impact of volatilities and correlations
Brigo, Damiano; Pallavicini, Andrea; Papatheodorou, … - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 773-802
Persistent link: https://www.econbiz.de/10009381011
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Modelling the bid and ask prices of illiquid CDSs
Walker, Michael B. - In: International journal of theoretical and applied finance 15 (2012) 6, pp. 1-37
Persistent link: https://www.econbiz.de/10009672590
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A spread-return mean-reverting model for credit spread dynamics
O'Donoghue, Brendan; Peacock, Matthew; Lee, Jacky; … - In: International journal of theoretical and applied finance 17 (2014) 3, pp. 1-14
Persistent link: https://www.econbiz.de/10010364761
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Pricing-hedging duality for credit default swaps and the negative basis arbitrage
Mai, Jan-Frederik - In: International journal of theoretical and applied finance 22 (2019) 6, pp. 1-17
Persistent link: https://www.econbiz.de/10012153067
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Multi-currency credit default swaps
Brigo, Damiano; Pede, Nicola; Petrelli, Andrea - In: International journal of theoretical and applied finance 22 (2019) 4, pp. 1-35
Persistent link: https://www.econbiz.de/10012030890
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New model for pricing quanto credit default swaps
Itkin, A.; Shcherbakov, V.; Veygman, A. - In: International journal of theoretical and applied finance 22 (2019) 3, pp. 1-37
Persistent link: https://www.econbiz.de/10012019847
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Measuring model risk in financial risk management and pricing
Jokhadze, Valeriane; Schmidt, Wolfgang M. - In: International journal of theoretical and applied finance 23 (2020) 2, pp. 1-37
Persistent link: https://www.econbiz.de/10012270928
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Pricing of an index-linked swaption
Henjes, Katja - In: International journal of theoretical and applied finance 3 (2000) 3, pp. 591
Persistent link: https://www.econbiz.de/10001524494
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Time-varying risk premia in emerging markets : explanation by a multi-factor affine term structure model
Almeida, Caio - In: International journal of theoretical and applied finance 7 (2004) 7, pp. 919-947
Persistent link: https://www.econbiz.de/10002420784
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Which process gives rise to the observed dependence of swaption implied volatility on the underlying?
Rebonato, Riccardo - In: International journal of theoretical and applied finance 6 (2003) 4, pp. 419-442
Persistent link: https://www.econbiz.de/10001779831