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isPartOf:"The journal of fixed income"
~isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
~isPartOf:"The journal of computational finance"
~subject:"Credit risk"
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Interest rate derivative
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The journal of fixed income
Mathematical finance : an international journal of mathematics, statistics and financial theory
The journal of computational finance
International journal of theoretical and applied finance
3
Journal of banking & finance
3
The journal of credit risk : published quarterly by Incisive Media
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European journal of operational research : EJOR
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Interest rate modelling after the financial crisis
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International journal of financial engineering
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Central Bank review / Central Bank of the Republic of Turkey
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Credit risk : measurement, evaluation and management ; [on March 13th - 15th 2002, the 8th Econometric Workshop in Karlsruhe was held at the University of Karlsruhe (TH), Germany] ; with 85 figures
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Economic theory, dynamics and markets : essays in honor of Ryuzo Sato
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A libor market model including credit risk under the real-world measure
Lopes, Sara Dutra
;
Vázquez, Carlos
- In:
The journal of computational finance
24
(
2020
)
3
,
pp. 111-141
Persistent link: https://www.econbiz.de/10012544160
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2
Revisiting interest rate swap valuation with counterparty risk, wrong-way risk, and OIS discounting
Gargouri, Ayoub
;
Lai, Van Son
;
Soumaré, Issouf
- In:
The journal of fixed income
26
(
2017
)
3
,
pp. 63-80
Persistent link: https://www.econbiz.de/10011684745
Saved in:
3
Rating based Lévy Libor model
Eberlein, Ernst
;
Grbac, Zorana
- In:
Mathematical finance : an international journal of …
23
(
2013
)
4
,
pp. 591-626
Persistent link: https://www.econbiz.de/10010187684
Saved in:
4
A general framework for pricing credit risk
Bélanger, Alain
;
Shreve, Steven E.
;
Wong, Dennis
- In:
Mathematical finance : an international journal of …
14
(
2004
)
3
,
pp. 317-350
Persistent link: https://www.econbiz.de/10002125505
Saved in:
5
Transmission of swap spreads and volatilities in the Japenese swap market
Eom, Young Ho
;
Subrahmanyam, Marti G.
;
Uno, Jun
- In:
The journal of fixed income
12
(
2002
)
1
,
pp. 6-28
Persistent link: https://www.econbiz.de/10001725689
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