Credit derivative evaluation and CVA under the benchmark approach
Year of publication: |
September 2015
|
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Authors: | Baldeaux, Jan ; Platen, Eckhard |
Published in: |
Asia-Pacific financial markets. - Dordrecht [u.a.] : Springer, ISSN 1387-2834, ZDB-ID 1431844-1. - Vol. 22.2015, 3, p. 305-331
|
Subject: | Credit derivatives | Credit valuation adjustment | Benchmark approach | Affine processes | Real world pricing | Kreditrisiko | Credit risk | Derivat | Derivative | Benchmarking | Kreditderivat | Credit derivative | Bewertung | Evaluation | Optionspreistheorie | Option pricing theory | Portfolio-Management | Portfolio selection | Zinsstruktur | Yield curve |
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