Hedging of a credit default swaption in the CIR default intensity model
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Bibliographic InfoArticle provided by Springer in its journal Finance and Stochastics.
Volume (Year): 15 (2011)
Issue (Month): 3 (September)
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Web page: http://www.springerlink.com/content/101164/
Find related papers by JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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- Marek Rutkowski & Anthony Armstrong, 2009. "Valuation Of Credit Default Swaptions And Credit Default Index Swaptions," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., World Scientific Publishing Co. Pte. Ltd., vol. 12(07), pages 1027-1053.
- R. J. Elliott & M. Jeanblanc & M. Yor, 2000. "On Models of Default Risk," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 10(2), pages 179-195.
- Jeanblanc, Monique & Le Cam, Yann, 2009. "Progressive enlargement of filtrations with initial times," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 119(8), pages 2523-2543, August.
- Jamshidian, Farshid, 1989. " An Exact Bond Option Formula," Journal of Finance, American Finance Association, American Finance Association, vol. 44(1), pages 205-09, March.
- Damiano Brigo & Naoufel El-Bachir, 2007.
"An exact formula for default swaptions’ pricing in the SSRJD stochastic intensity model,"
ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University
icma-dp2007-14, Henley Business School, Reading University.
- Damiano Brigo & Naoufel El-Bachir, 2008. "An exact formula for default swaptions' pricing in the SSRJD stochastic intensity model," Papers 0812.4199, arXiv.org.
- Farshid Jamshidian, 2004. "Valuation of credit default swaps and swaptions," Finance and Stochastics, Springer, Springer, vol. 8(3), pages 343-371, 08.
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