A Two Factor Black-Karasinski Credit Default Swap Pricing Model (forthcoming in the Icfai Journal of Derivatives Markets, Vol IV, No 4, October 2007; all copyrights rest with the Icfai University Press)
Year of publication: |
2007-09
|
---|---|
Authors: | Realdon, Marco |
Institutions: | Department of Economics and Related Studies, University of York |
Subject: | sovereign CDS pricing | reduced-form credit risk model | Black-Karasinski | implicit .nite di¤erence method | maximum likelihood estimation |
-
Non-linear Gaussian sovereign CDS pricing models
Realdon, Marco, (2019)
-
Analytical option pricing under an asymmetrically displaced double gamma jump-diffusion model
Thul, Matthias, (2014)
-
Closed form integration of artificial neural networks with some applications
Gottschling, Andreas, (1999)
- More ...
-
Valuation of Put Options on Leveraged Equity
Realdon, Marco,
-
Book Values and Market Values of Equity and Debt
Realdon, Marco, (2006)
-
Convertible Subordinated Debt Valuation and "Conversion in Distress"
Realdon, Marco,
- More ...