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Valuation of credit default swaps and swaptions

Citations

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Cited by:

  1. Tomasz Bielecki & Monique Jeanblanc & Marek Rutkowski, 2011. "Hedging of a credit default swaption in the CIR default intensity model," Finance and Stochastics, Springer, vol. 15(3), pages 541-572, September.
  2. Travis Fisher & Sergio Pulido & Johannes Ruf, 2017. "Financial Models with Defaultable Numéraires," Working Papers hal-01240736, HAL.
  3. Samson Assefa, 2007. "Pricing Swaptions and Credit Default Swaptions in the Quadratic Gaussian Factor Model," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2007.
  4. Travis Fisher & Sergio Pulido & Johannes Ruf, 2019. "Financial Models with Defaultable Numéraires," Post-Print hal-01240736, HAL.
  5. Chris Kenyon & Andrew Green, 2015. "Dirac Processes and Default Risk," Papers 1504.04581, arXiv.org.
  6. Massimo Morini & Damiano Brigo, 2008. "Arbitrage-free Pricing of Credit Index Options: The no-armageddon pricing measure and the role of correlation after the subprime crisis," Papers 0812.4156, arXiv.org.
  7. Samson Assefa, 2007. "Pricing Swaptions and Credit Default Swaptions in the Quadratic Gaussian Factor Model," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 31, July-Dece.
  8. Amelie Hüttner & Matthias Scherer, 2016. "A note on the valuation of CDS options and extension risk in a structural model with jumps," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(02), pages 1-16, June.
  9. 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 icma-dp2007-14, Henley Business School, University of Reading.
  10. Goecke, Oskar, 2015. "Asset Liability-Management in einem selbstfinanzierenden Pensionsfonds," Forschung am ivwKöln 9/2015, Technische Hochschule Köln – University of Applied Sciences, Institute for Insurance Studies.
  11. Anjiao Wang, 2020. "The Pricing of Total Return Swap Under Default Contagion Models with Jump-Diffusion Interest Rate Risk," Indian Journal of Pure and Applied Mathematics, Springer, vol. 51(1), pages 361-373, March.
  12. Fisher, Travis & Pulido, Sergio & Ruf, Johannes, 2019. "Financial models with defaultable numéraires," LSE Research Online Documents on Economics 84973, London School of Economics and Political Science, LSE Library.
  13. Biagini, Francesca & Zhang, Yinglin, 2016. "Polynomial diffusion models for life insurance liabilities," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 114-129.
  14. Travis Fisher & Sergio Pulido & Johannes Ruf, 2015. "Financial Models with Defaultable Num\'eraires," Papers 1511.04314, arXiv.org, revised Oct 2017.
  15. Chen, Bingzheng & Zhang, Lihong & Zhao, Lin, 2010. "On the robustness of longevity risk pricing," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 358-373, December.
  16. Schrager, David F., 2006. "Affine stochastic mortality," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 81-97, February.
  17. Travis Fisher & Sergio Pulido & Johannes Ruf, 2019. "Financial models with defaultable numéraires," Mathematical Finance, Wiley Blackwell, vol. 29(1), pages 117-136, January.
  18. Francesca Biagini & Yinglin Zhang, 2016. "Polynomial Diffusion Models for Life Insurance Liabilities," Papers 1602.07910, arXiv.org, revised Sep 2016.
  19. Chiarella, Carl & Fanelli, Viviana & Musti, Silvana, 2011. "Modelling the evolution of credit spreads using the Cox process within the HJM framework: A CDS option pricing model," European Journal of Operational Research, Elsevier, vol. 208(2), pages 95-108, January.
  20. Samuel Chege Maina, 2011. "Credit Risk Modelling in Markovian HJM Term Structure Class of Models with Stochastic Volatility," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2011.
  21. Damien Ackerer & Damir Filipovi'c, 2016. "Linear Credit Risk Models," Papers 1605.07419, arXiv.org, revised Jul 2019.
  22. Damiano Brigo & Naoufel El-Bachir, 2006. "Credit Derivatives Pricing with a Smile-Extended Jump Stochastic Intensity Model," ICMA Centre Discussion Papers in Finance icma-dp2006-13, Henley Business School, University of Reading.
  23. Fanelli, Viviana, 2017. "Implications of implicit credit spread volatilities on interest rate modelling," European Journal of Operational Research, Elsevier, vol. 263(2), pages 707-718.
  24. Damien Ackerer & Damir Filipović, 2020. "Linear credit risk models," Finance and Stochastics, Springer, vol. 24(1), pages 169-214, January.
  25. Viviana Fanelli & Silvana Musti, 2007. "Pricing of CDS Options with the HJM approach: a Numerical Implementation," Quaderni DSEMS 26-2007, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia.
  26. Samuel Chege Maina, 2011. "Credit Risk Modelling in Markovian HJM Term Structure Class of Models with Stochastic Volatility," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 5, July-Dece.
  27. Naoufel El-Bachir & Damiano Brigo, 2008. "An analytically tractable time-changed jump-diffusion default intensity model," ICMA Centre Discussion Papers in Finance icma-dp2008-06, Henley Business School, University of Reading.
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