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Numerical valuation of basket credit derivatives in structural jump-diffusion models
Bujok, Karolina; Reisinger, Christoph - In: The journal of computational finance 15 (2011/12) 4, pp. 115-158
Persistent link: https://www.econbiz.de/10009575385
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Pricing credit derivatives using an asymptotic expansion approach
Muroi, Yoshifumi - In: The journal of computational finance 15 (2011/12) 3, pp. 135-171
Persistent link: https://www.econbiz.de/10009534163
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BSLP: Markovian bivariate spread-loss model for portfolio credit derivatives
Arnsdorf, Matthias; Halperin, Igor - In: The journal of computational finance 12 (2008/09) 2, pp. 77-107
Persistent link: https://www.econbiz.de/10009534630
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Dual quantization for random walks with application to credit derivatives
Pagès, Gilles; Wilbertz, Benedikt - In: The journal of computational finance 16 (2012/13) 2, pp. 33-60
Persistent link: https://www.econbiz.de/10009702578
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An exit-probability-based approach for the valuation of defaultable securities
Caramellino, Lucia; Iovino, Maria Gabriella - In: The journal of computational finance 6 (2002) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10001704737
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A Tree implementation of a credit spread model for credit derivatives
Schönbucher, Philipp J. - In: The journal of computational finance 6 (2002) 2, pp. 1-38
Persistent link: https://www.econbiz.de/10001740884
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Gaussian process regression for derivative portfolio modeling and application to credit valuation adjustment computations
Crépey, Stéphane; Dixon, Matthew F. - In: The journal of computational finance 24 (2020) 1, pp. 47-81
Persistent link: https://www.econbiz.de/10012421957
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Efficient estimation of sensitivities for counterparty credit risk with the finite difference Monte Carlo method
Graaf, Cornelis S. L. de; Kandhai, Drona; Sloot, Peter M. A. - In: The journal of computational finance 21 (2017) 1, pp. 83-113
Persistent link: https://www.econbiz.de/10011691615
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Variance optimal hedging with application to electricity markets
Warin, Xavier - In: The journal of computational finance 23 (2019) 3, pp. 33-59
Persistent link: https://www.econbiz.de/10012162373
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Efficient computation of exposure profiles on real-world and risk-neutral scenarios for Bermudan swaptions
Feng, Qian; Jain, Shashi; Karlsson, Patrik; Kandhai, Drona - In: The journal of computational finance 20 (2016) 1, pp. 139-172
Persistent link: https://www.econbiz.de/10011639641