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Counterparty risk pricing : impact of closeout and first-to-default times
Brigo, Damiano; Buescu, Cristin; Morini, Massimo - In: International journal of theoretical and applied finance 15 (2012) 6, pp. 1-23
Persistent link: https://www.econbiz.de/10009672601
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A note on the self-financing condition for funding, collateral and discounting
Brigo, Damiano; Buescu, Cristin; Pallavicini, Andrea; … - In: International journal of theoretical and applied finance 18 (2015) 2, pp. 1-10
Persistent link: https://www.econbiz.de/10011403214
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AN APPLICATION OF THE METHOD OF MOMENTS TO RANGE-BASED VOLATILITY ESTIMATION USING DAILY HIGH, LOW, OPENING, AND CLOSING (HLOC) PRICES
BUESCU, CRISTIN; TAKSAR, MICHAEL; KONÉ, FATOUMATA J. - In: International journal of theoretical and applied finance 16 (2013) 5
Persistent link: https://www.econbiz.de/10010155221
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An application of the method of moments to range-based volatility estimation using daily high, low, opening, and closing (HLOC) prices
Buescu, Cristin; Taksar, Michael I.; Koné, Fatoumata J. - In: International journal of theoretical and applied finance 16 (2013) 5, pp. 1-24
Persistent link: https://www.econbiz.de/10009784042
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Lognormal-mixture dynamics and calibration to market volatility smiles
Brigo, Damiano; Mercurio, Fabio - In: International journal of theoretical and applied finance 5 (2002) 4, pp. 427-446
Persistent link: https://www.econbiz.de/10001682228
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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
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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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Restructuring counterparty credit risk
Albanese, Claudio; Brigo, Damiano; Oertel, Frank - In: International journal of theoretical and applied finance 16 (2013) 2, pp. 1-29
Persistent link: https://www.econbiz.de/10009748714
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Pricingcounterparty risk including collateralization, netting rules, re-hypothecation and wrong-way risk
Brigo, Damiano; Capponi, Agostino; Pallavicini, Andrea; … - In: International journal of theoretical and applied finance 16 (2013) 2, pp. 1-16
Persistent link: https://www.econbiz.de/10009748723
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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