Valuation of credit default swaps and swaptions
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- 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,"
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- repec:eee:ejores:v:263:y:2017:i:2:p:707-718 is not listed on IDEAS
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- 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.
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More about this item
KeywordsCredit default swap; swaption; swap rate; subfiltration; conditional survival probability; preprice; prenumeraire; recovery; coadapted numeraires;
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