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~isPartOf:"International journal of theoretical and applied finance"
~subject:"Swap"
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Theory
Credit risk
108
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Theorie
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51
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49
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Brigo, Damiano
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International journal of theoretical and applied finance
Journal of banking & finance
170
The journal of credit risk : published quarterly by Incisive Media
82
NBER working paper series
65
The journal of fixed income
64
European journal of operational research : EJOR
57
NBER Working Paper
56
Working paper / National Bureau of Economic Research, Inc.
53
Journal of financial economics
52
Discussion paper / Centre for Economic Policy Research
51
Finance research letters
49
The journal of derivatives : the official publication of the International Association of Financial Engineers
45
International review of financial analysis
41
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41
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International review of economics & finance : IREF
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Mathematical finance : an international journal of mathematics, statistics and financial theory
35
Risks : open access journal
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Management science : journal of the Institute for Operations Research and the Management Sciences
34
Working paper series / European Central Bank
34
Research paper series / Swiss Finance Institute
33
The North American journal of economics and finance : a journal of financial economics studies
33
Applied mathematical finance
32
Discussion paper
32
Economic modelling
31
SpringerLink / Bücher
30
Finance and stochastics
29
Journal of financial intermediation
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Journal of international financial markets, institutions & money
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The journal of risk model validation
28
Journal of financial services research : JFSR
27
The journal of computational finance
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Journal of risk management in financial institutions
26
Review of derivatives research
26
The European journal of finance
26
The journal of corporate finance : contracting, governance and organization
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ECONIS (ZBW)
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1
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
Saved in:
2
Counterparty risk and funding : the four wings of the TVA
Crépey, Stéphane
;
Gerboud, Rémi
;
Grbac, Zorana
; …
- In:
International journal of theoretical and applied finance
16
(
2013
)
2
,
pp. 1-31
Persistent link: https://www.econbiz.de/10009748728
Saved in:
3
Bilateral counterparty risk valuation of CDS contracts with simultaneous defaults
Teng, Long
;
Ehrhardt, Matthias
;
Günther, Michael
- In:
International journal of theoretical and applied finance
16
(
2013
)
7
,
pp. 1-20
Persistent link: https://www.econbiz.de/10010233305
Saved in:
4
A spread-return mean-reverting model for credit spread dynamics
O'Donoghue, Brendan
;
Peacock, Matthew
;
Lee, Jacky
; …
- In:
International journal of theoretical and applied finance
17
(
2014
)
3
,
pp. 1-14
Persistent link: https://www.econbiz.de/10010364761
Saved in:
5
Contagion effects and collateralized credit value adjustments for credit default swaps
Frey, Rüdiger
;
Rösler, Lars
- In:
International journal of theoretical and applied finance
17
(
2014
)
7
,
pp. 1-29
Persistent link: https://www.econbiz.de/10010498864
Saved in:
6
Modelling the bid and ask prices of illiquid CDSs
Walker, Michael B.
- In:
International journal of theoretical and applied finance
15
(
2012
)
6
,
pp. 1-37
Persistent link: https://www.econbiz.de/10009672590
Saved in:
7
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
Saved in:
8
From bid-ask credit default
swap
quotes to risk-neutral default probabilities using distorted expectations
Michielon, Matteo
;
Khedher, Asma
;
Spreij, Peter
- In:
International journal of theoretical and applied finance
24
(
2021
)
3
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012652634
Saved in:
9
Counterparty risk for Credit Default
Swap
with states related default intensity processes
Tang, Dan
;
Wang, Yongjin
;
Zhou, Yuzhen
- In:
International journal of theoretical and applied finance
14
(
2011
)
8
,
pp. 1335-1353
Persistent link: https://www.econbiz.de/10009541993
Saved in:
10
Credit default swaps in two-dimensional models with various informations flows
Gapeev, Pavel V.
;
Jeanblanc, Monique
- In:
International journal of theoretical and applied finance
23
(
2020
)
2
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012270908
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