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Stein's method and zero bias transformation for CDO tranche pricing
El Karoui, Nicole; Jiao, Y. - In: Finance and stochastics 13 (2009) 2, pp. 151-180
Persistent link: https://www.econbiz.de/10003939500
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Hedging of a credit default swaption in the CIR default intensity model
Bielecki, Tomasz R.; Jeanblanc, Monique; Rutkowski, Marek - In: Finance and stochastics 15 (2011) 3, pp. 541-572
Persistent link: https://www.econbiz.de/10009303111
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Endogenous current coupons
Cheng, Zhe; Robertson, Scott - In: Finance and stochastics 21 (2017) 4, pp. 1027-1071
Persistent link: https://www.econbiz.de/10011944474
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Basket CDS pricing with interacting intensities
Zheng, Harry; Jiang, Lishang - In: Finance and stochastics 13 (2009) 3, pp. 445-469
Persistent link: https://www.econbiz.de/10003899327
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Bilateral credit valuation adjustment for large credit derivatives portfolios
Bo, Lijun; Capponi, Agostino - In: Finance and stochastics 18 (2014) 2, pp. 431-482
Persistent link: https://www.econbiz.de/10010340674
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Valuation of credit default swaps and swaptions
Jamshidian, Farshid - In: Finance and stochastics 8 (2004) 3, pp. 343-371
Persistent link: https://www.econbiz.de/10002130315
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Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
Brigo, Damiano; Alfonsi, Aurélien - In: Finance and stochastics 9 (2005) 1, pp. 29-42
Persistent link: https://www.econbiz.de/10002497060
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Linear credit risk models
Ackerer, Damien; Filipović, Damir - In: Finance and stochastics 24 (2020) 1, pp. 169-214
Persistent link: https://www.econbiz.de/10012253344
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Counterparty risk and funding : immersion and beyond
Crépey, Stéphane; Song, Shiqi - In: Finance and stochastics 20 (2016) 4, pp. 901-930
Persistent link: https://www.econbiz.de/10011569906
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Coherent risk measures and good-deal bounds
Jaschke, Stefan R.; Küchler, Uwe - In: Finance and stochastics 5 (2001) 2, pp. 181-200
Persistent link: https://www.econbiz.de/10001571488