The analytic pricing of asymmetric defaultable swaps
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- Francois, Pascal & Hubner, Georges, 2004. "Credit derivatives with multiple debt issues," Journal of Banking & Finance, Elsevier, vol. 28(5), pages 997-1021, May.
- Wujiang Lou, 2015. "Liability-side Pricing of Swaps and Coherent CVA and FVA by Regression/Simulation," Papers 1512.07340, arXiv.org.
- Vivek Bhargava & D.K. Malhotra, 2012. "The effects of volatility spillover in the US basis swap markets," International Journal of Financial Services Management, Inderscience Enterprises Ltd, vol. 5(3), pages 216-238.
- Ming Pu & Gang-Zhi Fan & Seow Ong, 2012. "Heterogeneous Agents and the Indifference Pricing of Property Index Linked Swaps," The Journal of Real Estate Finance and Economics, Springer, vol. 44(4), pages 543-569, May.
- Hugues Pirotte, 1999. "Implementing a Structural Valuation Model of Swap Credit-Sensitive Rates," Working Papers CEB 99-001.RS, ULB -- Universite Libre de Bruxelles.
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