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Pricing and hedging prepayment risk in a mortgage portfolio

Casamassima, Emanuele; Grzelak, Lech A.; Mulder, Frank A.; … - In: International journal of theoretical and applied … 25 (2022) 4/5, pp. 1-37

Persistent link: https://www.econbiz.de/10013371214

Sensitivities and hedging of the collateral choice option

Deelstra, Griselda; Grzelak, Lech A.; Wolf, Felix Lukas - In: International journal of theoretical and applied … 25 (2022) 6, pp. 1-35

Persistent link: https://www.econbiz.de/10014235062

Cheapest-to-deliver collateral : a common factor approach

Wolf, Felix Lukas; Grzelak, Lech A.; Deelstra, Griselda - In: Quantitative finance 22 (2022) 4, pp. 707-723

Persistent link: https://www.econbiz.de/10013367854

Wrong Way Risk Modeling and Computation in Credit Valuation Adjustment for European and Bermudan Options

Feng, Qian - 2016

We study the impact of wrong-way-risk (WWR) on credit valuation adjustment (CVA) for European and Bermudan options, based on an intensity model. WWR is modeled by a dependency between the underlying asset and the intensity of the counterparty's default. We consider three different models. We...

Persistent link: https://www.econbiz.de/10012981149

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

Generalized beta regression models for random loss given default

Huang, Xinzheng; Oosterlee, Cornelis W. - In: The journal of credit risk : published quarterly by … 7 (2011/12) 1, pp. 45-70

Persistent link: https://www.econbiz.de/10009424789

Higher-order saddlepoint approximations in the Vasicek portfolio credit loss model

Huang, Xinzheng; Oosterlee, Cornelis W.; Weide, Hans van der - In: The journal of computational finance 11 (2007/08) 1, pp. 93-113

Persistent link: https://www.econbiz.de/10003643434

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

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

Computing credit valuation adjustment for Bermudan options with wrong way risk

Feng, Qian; Oosterlee, Cornelis Willebrordus - In: International journal of theoretical and applied finance 20 (2017) 8, pp. 1-31

Persistent link: https://www.econbiz.de/10011787454