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A libor market model including credit risk under the real-world measure
Lopes, Sara Dutra; Vázquez, Carlos - In: The journal of computational finance 24 (2020) 3, pp. 111-141
Persistent link: https://www.econbiz.de/10012544160
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Efficient computation of exposure profiles on real-world and risk-neutral scenarios for Bermudan swaptions
Feng, Qian; Jain, Shashi; Karlsson, Patrik; Kandhai, Drona - In: The journal of computational finance 20 (2016) 1, pp. 139-172
Persistent link: https://www.econbiz.de/10011639641
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Copula sensitivity in collateralized debt obligations and basket default swaps
Meneguzzo, Davide; Vecchiato, Walter - In: The journal of futures markets 24 (2004) 1, pp. 37-70
Persistent link: https://www.econbiz.de/10001850813
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The man in the middle-liquidity provision under central clearing in the credit default swap market : a regression discontinuity approach
Schönemann, Gregor - In: The journal of futures markets 42 (2022) 3, pp. 446-471
Persistent link: https://www.econbiz.de/10012817941
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Credit default swaps and firm risk
Lin, Hai; Binh Hoang Nguyen; Wang, Junbo; Zhang, Cheng - In: The journal of futures markets 43 (2023) 11, pp. 1668-1692
Persistent link: https://www.econbiz.de/10014432924
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Efficient estimation of sensitivities for counterparty credit risk with the finite difference Monte Carlo method
Graaf, Cornelis S. L. de; Kandhai, Drona; Sloot, Peter M. A. - In: The journal of computational finance 21 (2017) 1, pp. 83-113
Persistent link: https://www.econbiz.de/10011691615
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BSLP: Markovian bivariate spread-loss model for portfolio credit derivatives
Arnsdorf, Matthias; Halperin, Igor - In: The journal of computational finance 12 (2008/09) 2, pp. 77-107
Persistent link: https://www.econbiz.de/10009534630
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Gaussian process regression for derivative portfolio modeling and application to credit valuation adjustment computations
Crépey, Stéphane; Dixon, Matthew F. - In: The journal of computational finance 24 (2020) 1, pp. 47-81
Persistent link: https://www.econbiz.de/10012421957
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Currency-protected swaps and swaptions with nonzero spreads in a multicurrency LMM
Chang, Jui-jane; Chen, Son-nan; Wu, Ting-pin - In: The journal of futures markets 33 (2013) 9, pp. 827-867
Persistent link: https://www.econbiz.de/10009779065
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Robust and accurate Monte Carlo simulation of (cross-) Gammas for Bermudan swaptions in the LIBOR market model
Korn, Ralf; Liang, Qian - In: The journal of computational finance 17 (2013/2014) 3, pp. 87-110
Persistent link: https://www.econbiz.de/10010366276