Arbitrage-free Pricing of Credit Index Options: The no-armageddon pricing measure and the role of correlation after the subprime crisis
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References listed on IDEAS
- Farshid Jamshidian, 1997. "LIBOR and swap market models and measures (*)," Finance and Stochastics, Springer, vol. 1(4), pages 293-330.
- Farshid Jamshidian, 2004. "Valuation of credit default swaps and swaptions," Finance and Stochastics, Springer, vol. 8(3), pages 343-371, August.
- Paul Glasserman & Wanmo Kang & Perwez Shahabuddin, 2007. "Large Deviations In Multifactor Portfolio Credit Risk," Mathematical Finance, Wiley Blackwell, vol. 17(3), pages 345-379, July.
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- Mr. Jorge A Chan-Lau & Mr. Andre O Santos & Jose Giancarlo Gasha & Mr. Carlos I. Medeiros & Mr. Marcos R Souto & Christian Capuano, 2009. "Recent Advances in Credit Risk Modeling," IMF Working Papers 2009/162, International Monetary Fund.
- Rama Cont & Yu Hang Kan, 2011. "Dynamic hedging of portfolio credit derivatives," Post-Print hal-00578008, HAL.
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