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The impact of margin interest on the valuation of credit default swaps
Kan, Yu Hang; Pedersen, Claus - In: The journal of derivatives : the official publication … 20 (2012) 1, pp. 60-79
Persistent link: https://www.econbiz.de/10009671707
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Interest rate swap credit valuation adjustment
Černý, Jakub; Witzany, Jiří - In: The journal of derivatives : the official publication … 23 (2015) 1, pp. 24-35
Persistent link: https://www.econbiz.de/10011404521
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Recent advances in default swap valuation
Cheng, Wai-yan - In: The journal of derivatives : the official publication … 9 (2001) 1, pp. 18-27
Persistent link: https://www.econbiz.de/10001618895
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Digital premium
Berd, Arthur M.; Kapoor, Vivek - In: The journal of derivatives : the official publication … 10 (2002) 3, pp. 66-76
Persistent link: https://www.econbiz.de/10001770081
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Asymmetric dynamics between informed trading activity and credit default swaps
Hu, Wen-Cheng; Huang, Alex - In: The journal of derivatives : the official publication … 26 (2018) 2, pp. 70-85
Persistent link: https://www.econbiz.de/10011968700
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Efficient analytical cascade calibration of the LIBOR market model with endogenous interpolation
Brigo, Damiano; Morini, Massimo - In: The journal of derivatives : the official publication … 14 (2006) 1, pp. 40-60
Persistent link: https://www.econbiz.de/10003379121
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Optimal calibration of LIBOR market models to correlations
Weigel, Peter - In: The journal of derivatives : the official publication … 12 (2004) 2, pp. 43-50
Persistent link: https://www.econbiz.de/10002535971
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Pricing swaptions within an affine framework
Collin-Dufresne, Pierre; Goldstein, Robert S. - In: The journal of derivatives : the official publication … 10 (2002) 1, pp. 9-26
Persistent link: https://www.econbiz.de/10001718682
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Pricing equity swaps in a stochastic interest rate economy
Kijima, Masaaki; Muromachi, Yukio - In: The journal of derivatives : the official publication … 8 (2001) 4, pp. 19-35
Persistent link: https://www.econbiz.de/10001613578
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Valuation of CMS spread options with nonzero strike rates in the LIBOR market model
Wu, Ting-pin; Chen, Son-nan - In: The journal of derivatives : the official publication … 19 (2011) 1, pp. 41-55
Persistent link: https://www.econbiz.de/10009316812