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An implied volatility model determined by credit default swaps
Heider, Pascal - In: International journal of theoretical and applied finance 15 (2012) 7, pp. 1-21
Persistent link: https://www.econbiz.de/10009685890
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Robustness of distance-to-default
Jessen, Cathrine; Lando, David - In: Journal of banking & finance 50 (2015), pp. 493-505
Persistent link: https://www.econbiz.de/10010510191
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Explaining CDS prices with Merton's model before and after the Lehman default
Gemmill, Gordon; Marra, Miriam - In: Journal of banking & finance 106 (2019), pp. 93-109
Persistent link: https://www.econbiz.de/10012224244
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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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Credit modeling under jump diffusions with exponentially distributed jumps : stable calibration, dynamics and GAP risk
Hellmich, Martin; Kassberger, Stefan; Schmidt, Wolfgang M. - In: International journal of theoretical and applied finance 16 (2013) 4, pp. 1-26
Persistent link: https://www.econbiz.de/10009779752
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Credit derivatives pricing with stochastic volatility models
Chiarella, Carl; Chege Maina, Samuel; Nikitopoulos, … - In: International journal of theoretical and applied finance 16 (2013) 4, pp. 1-28
Persistent link: https://www.econbiz.de/10009779780
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Value-at-risk computations in stochastic volatility models using second-order weak approximation schemes
Lütkebohmert-Holtz, Eva; Matchie, Lydienne - In: International journal of theoretical and applied finance 17 (2014) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10010363958
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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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Modeling correlated market and credit risk in fixed income portfolios
Barnhill, Theodore M.; Maxwell, William F. - In: Journal of banking & finance 26 (2002) 2/3, pp. 347-374
Persistent link: https://www.econbiz.de/10001654326
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The cost of foreign-currency lending
Delēs, Manthos D.; Politsidis, Panagiotis N.; Sarno, Lucio - In: Journal of banking & finance 136 (2022), pp. 1-14
Persistent link: https://www.econbiz.de/10013448767