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Counterparty credit exposures for interest rate derivatives using the stochastic grid bundling method

Karlsson, Patrik; Jain, Shashi; Oosterlee, Cornelis … - In: Applied mathematical finance 23 (2016) 3/4, pp. 175-196

Persistent link: https://www.econbiz.de/10011704227

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

Interest rate swap credit valuation adjustment

Černý, Jakub; Witzany, Jiří - 2014

needed to incorporate the wrong-way risk. A semi-analytical CVA formula simplifying the interest rate swap (IRS) valuation …-analytical approach are compared with the results of a complex simulation study. …

Persistent link: https://www.econbiz.de/10010358352

Pricing credit default swap under fractional Vasicek interest rate model

Hao, Ruili; Liu, Yonghui; Wang, Shoubai - In: Journal of mathematical finance 4 (2014) 1, pp. 10-20

Persistent link: https://www.econbiz.de/10010422093

A defaultable HJM modelling of the Libor rate for pricing Basis Swaps after the credit crunch

Fanelli, Viviana - In: European journal of operational research : EJOR 249 (2016) 1, pp. 238-244

Persistent link: https://www.econbiz.de/10011435817

A general framework for the benchmark pricing in a fully collateralized market

Fuji, Masaaki; Takahashi, Akihiko - In: International journal of financial engineering 3 (2016) 3, pp. 1-30

Persistent link: https://www.econbiz.de/10011587747

Capital market finance : an introduction to primitive assets, derivatives, portfolio management and risk

Poncet, Patrice; Portait, Roland; Toder, Igor - 2022

Persistent link: https://www.econbiz.de/10012628654

Capital Market Finance : An Introduction to Primitive Assets, Derivatives, Portfolio Management and Risk

Poncet, Patrice; Portait, Roland; Toder, Igor - 2022

1 Introduction: Economics and Organization of Financial Markets -- Part 1 Basic Financial Instruments -- 2 Basic Finance: Interest rates, Discounting, Investments, Loans -- 3 The Money Market and its Interbank Segment -- 4 The Bond Markets -- 5 Introduction to the Analysis of Interest Rate and...

Persistent link: https://www.econbiz.de/10013441427

A static replication approach for callable interest rate derivatives : mathematical foundations and efficient estimation of SIMM-MVA

Hoencamp, J. H.; Jain, Surbhi; Kandhai, B. D. - In: Quantitative finance 24 (2024) 3/4, pp. 409-432

Persistent link: https://www.econbiz.de/10014552078

Calibration of Credit Spread Scenarios for Monte Carlo Simulations

Dubrana, Ludovic - 2012

a lack of liquidity in the market. As the Credit Default Swap (CDS) market demonstrates more liquidity, CDS spreads are …

Persistent link: https://www.econbiz.de/10013105185