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Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model

Brigo, Damiano; Alfonsi, Aurélien - In: Finance and Stochastics 9 (2005) 1, pp. 29-42

We introduce the two-dimensional shifted square-root diffusion (SSRD) model for interest-rate and credit derivatives with (positive) stochastic intensity. The SSRD is the unique explicit diffusion model allowing an automatic and separated calibration of the term structure of interest rates and...

Persistent link: https://www.econbiz.de/10005613431

Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model

Brigo, Damiano; Alfonsi, Aurélien - In: Finance and stochastics 9 (2005) 1, pp. 29-42

Persistent link: https://www.econbiz.de/10002497060

Multilevel Monte-Carlo for computing the SCR with the standard formula and other stress tests

Alfonsi, Aurélien; Cherchali, Adel; Infante, Arturo - In: Insurance / Mathematics & economics 100 (2021), pp. 234-260

Persistent link: https://www.econbiz.de/10012622391

Stochastic local intensity loss models with interacting particle systems

Alfonsi, Aurélien; Labart, Celine; Lelong, Jérõme - In: Mathematical finance : an international journal of … 26 (2016) 2, pp. 366-394

Persistent link: https://www.econbiz.de/10011577160

Pricing path-dependent Bermudan options using Wiener chaos expansion : an embarrassingly parallel approach

Lelong, Jérõme - In: The journal of computational finance 24 (2020) 2, pp. 1-31

Persistent link: https://www.econbiz.de/10012543612