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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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Multi-currency credit default swaps
Brigo, Damiano; Pede, Nicola; Petrelli, Andrea - In: International journal of theoretical and applied finance 22 (2019) 4, pp. 1-35
Persistent link: https://www.econbiz.de/10012030890
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Pricing-hedging duality for credit default swaps and the negative basis arbitrage
Mai, Jan-Frederik - In: International journal of theoretical and applied finance 22 (2019) 6, pp. 1-17
Persistent link: https://www.econbiz.de/10012153067
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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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Valuation of credit default swaptions and credit default index swaptions
Rutkowski, Marek; Armstrong, Anthony - In: International journal of theoretical and applied finance 12 (2009) 7, pp. 1027-1053
Persistent link: https://www.econbiz.de/10003928782
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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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The determinants of credit default swap rates : an explanatory study
Abid, Fathi; Naifar, Nader - In: International journal of theoretical and applied finance 9 (2006) 1, pp. 23-42
Persistent link: https://www.econbiz.de/10003285866
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Hedging of synthetic CDO tranches with spread and default risk based on a combined forecasting approach
Liu, Wen-Qiong; Huang, Wen-Li - In: International journal of theoretical and applied finance 22 (2019) 2, pp. 1-17
Persistent link: https://www.econbiz.de/10012012947
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New model for pricing quanto credit default swaps
Itkin, A.; Shcherbakov, V.; Veygman, A. - In: International journal of theoretical and applied finance 22 (2019) 3, pp. 1-37
Persistent link: https://www.econbiz.de/10012019847
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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