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The impact of margin interest on the valuation of credit default swaps
Kan, Yu Hang; Pedersen, Claus - In: The journal of derivatives : the official publication … 20 (2012) 1, pp. 60-79
Persistent link: https://www.econbiz.de/10009671707
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Interest rate swap credit valuation adjustment
Černý, Jakub; Witzany, Jiří - In: The journal of derivatives : the official publication … 23 (2015) 1, pp. 24-35
Persistent link: https://www.econbiz.de/10011404521
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Modelling credit default swap spreads by means of normal mixtures and copulas
Bee, Marco - In: Applied mathematical finance 11 (2004) 2, pp. 125-146
Persistent link: https://www.econbiz.de/10002085490
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Recent advances in default swap valuation
Cheng, Wai-yan - In: The journal of derivatives : the official publication … 9 (2001) 1, pp. 18-27
Persistent link: https://www.econbiz.de/10001618895
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Berd, Arthur M.; Kapoor, Vivek - In: The journal of derivatives : the official publication … 10 (2002) 3, pp. 66-76
Persistent link: https://www.econbiz.de/10001770081
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Exponential Lévy models extended by a jump to default
Yamazaki, Akira - In: Applied mathematical finance 20 (2013) 3/4, pp. 211-228
Persistent link: https://www.econbiz.de/10010187668
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Counterparty credit exposures for interest rate derivatives using the stochastic grid bundling method
Karlsson, Patrik; Jain, Shashi; Oosterlee, Cornelis … - In: Applied mathematical finance 23 (2016) 3/4, pp. 175-196
Persistent link: https://www.econbiz.de/10011704227
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Asymmetric dynamics between informed trading activity and credit default swaps
Hu, Wen-Cheng; Huang, Alex - In: The journal of derivatives : the official publication … 26 (2018) 2, pp. 70-85
Persistent link: https://www.econbiz.de/10011968700
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A semi-explicit approach to Canary swaptions in HJM one-factor model
Henrard, Marc - In: Applied mathematical finance 13 (2006) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10003320021
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Efficient analytical cascade calibration of the LIBOR market model with endogenous interpolation
Brigo, Damiano; Morini, Massimo - In: The journal of derivatives : the official publication … 14 (2006) 1, pp. 40-60
Persistent link: https://www.econbiz.de/10003379121