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~person:"Xiao, Tim"
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Xiao, Tim
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Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment
Xiao, Tim
-
2018
Market Models, while the default time is modeled by the
reduced-form
model
as the first jump of a time-inhomogeneous Poisson …
Persistent link: https://www.econbiz.de/10012058455
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2
The Valuation of Interest Rate Swap with Bilateral Counterparty Risk
Xiao, Tim
-
2017
. The counterparty defaults are modeled by the
reduced-form
model
as the first jump of a time-inhomogeneous Poisson process …
Persistent link: https://www.econbiz.de/10012061521
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