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~isPartOf:"The journal of computational finance"
~subject:"Credit risk"
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Credit risk
Option pricing theory
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2
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The journal of computational finance
International journal of theoretical and applied finance
36
Journal of banking & finance
21
Review of derivatives research
18
Applied mathematical finance
13
Journal of financial economics
13
Mathematical finance : an international journal of mathematics, statistics and financial theory
12
The journal of futures markets
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The North American journal of economics and finance : a journal of financial economics studies
11
The journal of fixed income
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Finance research letters
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International journal of financial engineering
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International review of financial analysis
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Asia-Pacific financial markets
9
Quantitative finance
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The journal of credit risk : published quarterly by Incisive Media
8
European journal of operational research : EJOR
7
Insurance / Mathematics & economics
7
The European journal of finance
7
The journal of derivatives : the official publication of the International Association of Financial Engineers
7
Working papers / ADB Institute
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Journal of economic dynamics & control
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Finance and stochastics
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International review of economics & finance : IREF
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Research in international business and finance
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Decisions in economics and finance : DEF ; a journal of applied mathematics
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1
Penalty methods for bilateral XVA pricing in European and American contingent claims by a partial differential equation model
Chen, Yuwei
;
Christara, Christiana C.
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 41-70
Persistent link: https://www.econbiz.de/10012544162
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2
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
Saved in:
3
Fast valuation and calibration of credit default swaps under Lévy dynamics
Fang, Fang
;
Jönsson, Henrik
;
Oosterlee, Cornelis W.
; …
- In:
The journal of computational finance
14
(
2010/11
)
2
,
pp. 57-86
Persistent link: https://www.econbiz.de/10008810136
Saved in:
4
Numerical valuation of basket credit derivatives in structural jump-diffusion models
Bujok, Karolina
;
Reisinger, Christoph
- In:
The journal of computational finance
15
(
2011/12
)
4
,
pp. 115-158
Persistent link: https://www.econbiz.de/10009575385
Saved in:
5
Pricing credit derivatives using an asymptotic expansion approach
Muroi, Yoshifumi
- In:
The journal of computational finance
15
(
2011/12
)
3
,
pp. 135-171
Persistent link: https://www.econbiz.de/10009534163
Saved in:
6
Updating the option implied probability of default methodology
Vilsmeier, Johannes
- In:
The journal of computational finance
19
(
2016
)
3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011563457
Saved in:
7
An exit-probability-based approach for the valuation of defaultable securities
Caramellino, Lucia
;
Iovino, Maria Gabriella
- In:
The journal of computational finance
6
(
2002
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10001704737
Saved in:
8
A Tree implementation of a credit spread model for credit derivatives
Schönbucher, Philipp J.
- In:
The journal of computational finance
6
(
2002
)
2
,
pp. 1-38
Persistent link: https://www.econbiz.de/10001740884
Saved in:
9
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
Saved in:
10
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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