Hedging of a credit default swaption in the CIR default intensity model
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Volume (Year): 15 (2011)
Issue (Month): 3 (September)
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References listed on IDEAS
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- R. J. Elliott & M. Jeanblanc & M. Yor, 2000. "On Models of Default Risk," Mathematical Finance, Wiley Blackwell, vol. 10(2), pages 179-195.
- Jiro Akahori & Shigeyoshi Ogawa & Shinzo Watanabe (ed.), 2006. "Stochastic Processes and Applications to Mathematical Finance," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 5956, 04.
- Damiano Brigo & Naoufel El-Bachir, 2008.
"An exact formula for default swaptions' pricing in the SSRJD stochastic intensity model,"
- 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, Reading University.
- Jamshidian, Farshid, 1989. " An Exact Bond Option Formula," Journal of Finance, American Finance Association, vol. 44(1), pages 205-209, March.
- Farshid Jamshidian, 2004. "Valuation of credit default swaps and swaptions," Finance and Stochastics, Springer, vol. 8(3), pages 343-371, 08.
- Jeanblanc, Monique & Le Cam, Yann, 2009. "Progressive enlargement of filtrations with initial times," Stochastic Processes and their Applications, Elsevier, vol. 119(8), pages 2523-2543, August.
- 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., vol. 12(07), pages 1027-1053.
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