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Single name credit default swaptions meet single sided jump models

Jönsson, Henrik; Schoutens, Wim - In: Review of derivatives research 11 (2008) 1/2, pp. 153-169

Persistent link: https://www.econbiz.de/10003829573

Single Name Credit Default Swaptions Meet Single Sided Jump Models

Jönsson, Henrik - 2010

the 'vanillas' of the CDS derivative markets: payer and receiver swaptions. It turns out that the proposed model is able … to produce realistic implied volatility smiles. Moreover, we detail how a CDS spread simulator can be set up under this …

Persistent link: https://www.econbiz.de/10013141955

Fast valuation and calibration of credit default swaps under Lévy dynamics

Fang, Fang; Jönsson, Henrik; Oosterlee, Cornelis W.; … - In: The journal of computational finance 14 (2010/11) 2, pp. 57-86

Persistent link: https://www.econbiz.de/10008810136

Fast Valuation and Calibration of Credit Default Swaps Under Levy Dynamics

Fang, Fang - 2010

In this paper we address the issue of finding an efficient and flexible numerical approach for calculating survival/default probabilities and pricing Credit Default Swaps under advanced jump dynamics. We have chosen to use the firm's value approach, modeling the firm's value by an...

Persistent link: https://www.econbiz.de/10013141952