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Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps

Brigo, Damiano; Capponi, Agostino; Pallavicini, Andrea - In: Mathematical finance : an international journal of … 24 (2014) 1, pp. 125-146

Persistent link: https://www.econbiz.de/10010256178

Inflation-Adjusted Bonds, Swaps and Derivatives

Jarrow, Robert A.; Yildirim, Yildiray - 2023

The purpose of this paper is to review the literature on inflation-adjusted bonds, swaps, and derivatives. The methodology for valuation and risk management of these securities is an application of the foreign currency extension of a standard HJM term structure model. The two “currencies” in...

Persistent link: https://www.econbiz.de/10014355578

Inflation-adjusted bonds, swaps, and derivatives

Jarrow, Robert A.; Yildirim, Yildiray - In: Annual review of financial economics 15 (2023), pp. 449-471

Persistent link: https://www.econbiz.de/10014426345

Inflation-Adjusted Bonds, Swaps, and Derivatives

Jarrow, Robert A.; Yildirim, Yildiray - 2022

Persistent link: https://www.econbiz.de/10013293658

Credit risk

Jarrow, Robert A.; Turnbull, Stuart M. - 1995

Persistent link: https://www.econbiz.de/10000985913

Dynamic credit investment in partially observed markets

Capponi, Agostino; Figueroa-López, José E.; Pascucci, … - In: Finance and stochastics 19 (2015) 4, pp. 891-939

Persistent link: https://www.econbiz.de/10011421091

Counterparty risk for CDS : default clustering effects

Bo, Lijun; Capponi, Agostino - In: Journal of banking & finance 52 (2015), pp. 29-42

Persistent link: https://www.econbiz.de/10011377294

Bilateral credit valuation adjustment for large credit derivatives portfolios

Bo, Lijun; Capponi, Agostino - In: Finance and stochastics 18 (2014) 2, pp. 431-482

Persistent link: https://www.econbiz.de/10010340674

Derivative clearinghouses : collateral management and policy implications

Capponi, Agostino - In: After the crash : financial crises and regulatory responses, (pp. 371-383). 2019

Persistent link: https://www.econbiz.de/10012120731

Optimal investment in credit derivatives portfolio under contagion risk

Bo, Lijun; Capponi, Agostino - In: Mathematical finance : an international journal of … 26 (2016) 4, pp. 785-834

Persistent link: https://www.econbiz.de/10011583805