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THE STOCHASTIC INTENSITY SSRD MODEL IMPLIED VOLATILITY PATTERNS FOR CREDIT DEFAULT SWAP OPTIONS AND THE IMPACT OF CORRELATION
BRIGO, DAMIANO; COUSOT, LAURENT - In: International Journal of Theoretical and Applied … 09 (2006) 03, pp. 315-339
In this paper we investigate implied volatility patterns in the Shifted Square Root Diffusion (SSRD) model as functions of the model parameters. We begin by recalling the Credit Default Swap (CDS) options market model that is consistent with a market Black-like formula, thus introducing a notion...
Persistent link: https://www.econbiz.de/10004971738
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A Comparison between the Stochastic Intensity Ssrd Model and the Market Model for CDS Options Pricing
Brigo, Damiano - 2004
In this paper we investigate implied volatility patterns in the Shifted Square Root Diffusion (SSRD) model as functions of the model parameters. We begin by recalling the Credit Default Swap (CDS) options market model that is consistent with a market Black-like formula, thus introducing a notion...
Persistent link: https://www.econbiz.de/10012737943
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Probability-free models in option pricing : statistically indistinguishable dynamics and historical vs implied volatility
Brigo, Damiano - In: Options - 45 years since the publication of the …, (pp. 47-61). 2023
Persistent link: https://www.econbiz.de/10014366586
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New developments on the Gaussian Projection Filter with small observation noise
Brigo, Damiano - 1996
Persistent link: https://www.econbiz.de/10000929725
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On the nice behaviour of the Gaussian projection filter with small observation noise
Brigo, Damiano - 1995
Persistent link: https://www.econbiz.de/10000910433
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On the relationship between assumed density filters and projection filters
Brigo, Damiano; Hanzon, Bernard; Gland, François le - 1996
Persistent link: https://www.econbiz.de/10000927898
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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
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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
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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
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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
Persistent link: https://www.econbiz.de/10002497060