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An Empirical Comparison of Default Swap Pricing Models

Houweling, Patrick - 2011

to default swap premiums. We find that the model works well for investment grade credit default swaps, but only if we use … swap or repo rates as proxy for default-free interest rates. This indicates that the government curve is no longer seen as …

Persistent link: https://www.econbiz.de/10013134238

Transforming Volatility - Multi Curve Cap and Swaption Volatilities

Kienitz, Joerg - 2013

In this document we consider the problem of deriving volatilities of non-standard tenors given quotes for standard tenors. Especially, we aim to derive volatilities for caps and swaptions from given quotes for a short tenor, for instance 3m, and derive volatilties for a longer tenor, for...

Persistent link: https://www.econbiz.de/10013088240

Credit Derivative Theory & Practice – A Credit Primer & Review of the Impact of ISDA Standardization on Credit Default Swap Pricing & Credit Model Calibration

Burgess, Nicholas - 2018

.We review the Credit Default Swap (CDS) product highlighting contract specifications, terminology and how the product has been …

Persistent link: https://www.econbiz.de/10012925163

A semi-static replication method for Bermudan swaptions under an affine multi-factor model

Hoencamp, Jori; Jain, Shashi; Kandhai, Drona - In: Risks : open access journal 11 (2023) 10, pp. 1-41

form. This paves the way toward the efficient numerical simulation of xVA, market, and credit risk metrics for which …

Persistent link: https://www.econbiz.de/10014391534

Two problems in financial engineering

Chen, Nan - 2006

Persistent link: https://www.econbiz.de/10003965291

Fast delta computations in the swap market model

Joshi, Mark S.; Chao Yang - 2009

Persistent link: https://www.econbiz.de/10003924295

Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps

Brigo, Damiano; Capponi, Agostino; Pallavicini, Andrea - In: Mathematical finance : an international journal of … 24 (2014) 1, pp. 125-146

Persistent link: https://www.econbiz.de/10010256178

Two processes for two prices

Madan, Dilip B.; Schoutens, Wim - In: International journal of theoretical and applied finance 17 (2014) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10010363955

Essays in term structure and credit spread models

Fan, Rong - 2002

Persistent link: https://www.econbiz.de/10003776097

Credit spreads, optimal capital structure, and implied volatility with endogenous default and jump risk

Chen, Nan; Kou, Steven - In: Mathematical finance : an international journal of … 19 (2009) 3, pp. 343-378

Persistent link: https://www.econbiz.de/10003882482

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