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Option pricing impact of alternative continuous-time dynamics for discretely-observed stock prices

Brigo, Damiano; Mercurio, Fabio - In: Finance and stochastics 4 (2000) 2, pp. 147-159

Persistent link: https://www.econbiz.de/10001486694

A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models

Brigo, Damiano; Mercurio, Fabio - In: Finance and stochastics 5 (2001) 3, pp. 369-387

Persistent link: https://www.econbiz.de/10001599290

Interest rate models - theory and practice : with smile, inflation and credit ; with 131 tables

Brigo, Damiano; Mercurio, Fabio - 2006 - 2. ed.

Persistent link: https://www.econbiz.de/10002116360

Lognormal-mixture dynamics and calibration to market volatility smiles

Brigo, Damiano; Mercurio, Fabio - In: International journal of theoretical and applied finance 5 (2002) 4, pp. 427-446

Persistent link: https://www.econbiz.de/10001682228

A simple two-period model for option pricing with market imperfections

Mercurio, Fabio - In: PhD research bulletin / Tinbergen Institute 9 (1997) 1, pp. 39-48

Persistent link: https://www.econbiz.de/10001220781

CDS options through candidate market models and the CDS-calibrated CIR++ stochastic intensity model

Brigo, Damiano - In: Credit risk : models, derivatives, and management, (pp. 393-425). 2008

Persistent link: https://www.econbiz.de/10003718585

Option pricing with hedging at fixed trading dates

Mercurio, Fabio; Vorst, Ton - 1997

Persistent link: https://www.econbiz.de/10000969030

Option pricing for jump diffusions : approximations and their interpretation

Mercurio, Fabio - In: Mathematical finance : an international journal of … 3 (1993) 2, pp. 191-200

Persistent link: https://www.econbiz.de/10001333345

Option pricing with hedging at fixed trading dates

Mercurio, Fabio - In: Applied mathematical finance 3 (1996) 2, pp. 135-158

Persistent link: https://www.econbiz.de/10001219285

Jumping with Default : Wrong-Way-Risk Modeling for Credit Valuation Adjustment

Li, Minqiang - 2016

We investigate credit value adjustments (CVAs) in the presence of wrong-way risk (WWR) by introducing jumps at default to model correlation between counterparty's default and relevant risk factors. We focus on the foreign-exchange and interest-rate cases, presenting efficient CVA approximations...

Persistent link: https://www.econbiz.de/10013004752