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A defaultable HJM modelling of the Libor rate for pricing Basis Swaps after the credit crunch
Fanelli, Viviana - In: European journal of operational research : EJOR 249 (2016) 1, pp. 238-244
Persistent link: https://www.econbiz.de/10011435817
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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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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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Digital premium
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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Enhancing credit default swap valuation with meshfree methods
Guarin, Alexander; Liu, Xiaoquan; Wing Lon Ng - In: European journal of operational research : EJOR 214 (2011) 3, pp. 805-813
Persistent link: https://www.econbiz.de/10009316165
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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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Liquidity tail risk and credit default swap spreads
Irresberger, Felix; Weiß, Gregor; Gabrysch, Janet; … - In: European journal of operational research : EJOR 269 (2018) 3, pp. 1137-1153
Persistent link: https://www.econbiz.de/10011866884
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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
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On pricing and hedging in the swaption market : how many factors, really?
Fan, Rong; Gupta, Anurag; Ritchken, Peter H. - In: The journal of derivatives : the official publication … 15 (2007) 1, pp. 9-33
Persistent link: https://www.econbiz.de/10003611410