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The stochastic intensity SSRD model implied volatility patterns for credit default swap options and the impact of correlation
Brigo, Damiano; Cousot, Laurent - In: International journal of theoretical and applied finance 9 (2006) 3, pp. 315-339
Persistent link: https://www.econbiz.de/10003344290
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Counterparty risk for credit default swaps : impact of spread volatility and default correlation
Brigo, Damiano; Chourdakis, Kyriakos - In: International journal of theoretical and applied finance 12 (2009) 7, pp. 1007-1026
Persistent link: https://www.econbiz.de/10003928780
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Arbitrage-free valuation of bilateral counterparty risk for interest-rate products : impact of volatilities and correlations
Brigo, Damiano; Pallavicini, Andrea; Papatheodorou, … - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 773-802
Persistent link: https://www.econbiz.de/10009381011
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Pricingcounterparty risk including collateralization, netting rules, re-hypothecation and wrong-way risk
Brigo, Damiano; Capponi, Agostino; Pallavicini, Andrea; … - In: International journal of theoretical and applied finance 16 (2013) 2, pp. 1-16
Persistent link: https://www.econbiz.de/10009748723
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Volatility clustering in financial markets : a microsimulation of interacting agents
Lux, Thomas; Marchesi, Michele - In: International journal of theoretical and applied finance 3 (2000) 4, pp. 675-702
Persistent link: https://www.econbiz.de/10001526862
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Lognormal-mixture dynamics and calibration to market volatility smiles
Brigo, Damiano; Mercurio, Fabio - In: International journal of theoretical and applied finance 5 (2002) 4, pp. 427-446
Persistent link: https://www.econbiz.de/10001682228
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Genetic Learning as an Explanation of Stylized Facts of Foreign Exchange Markets
Lux, Thomas - 2016
Persistent link: https://www.econbiz.de/10012991383