Narrow search
Showing 1 - 10 of 668,616
Cover Image
A tree Implementation of a credit spread model for credit derivatives
Schönbucher, Philipp J. - 2000 - This version June 1999
In this paper we present a tree model for defaultable bond prices which can be used for the pricing of credit derivatives. The model is based upon the two-factor Hull-White (1994) model for default-free interest rates, where one of the factors is taken to be the credit spread of the defaultable...
Persistent link: https://www.econbiz.de/10011538904
Cover Image
A tree implementation of a credit spread model for credit
Schönbucher, Philipp J. - 2001
Persistent link: https://www.econbiz.de/10001598744
Cover Image
Pricing credit linked financial instruments : theory and empirical evidence
Schmid, Bernd - 2002
Persistent link: https://www.econbiz.de/10001632772
Cover Image
Credit risk pricing models : theory and practice
Schmid, Bernd - 2004 - 2. ed.
Persistent link: https://www.econbiz.de/10001786486
Cover Image
Modellierung und Bewertung von Kreditrisiken
Grundke, Peter - 2003 - 1. Aufl.
Persistent link: https://www.econbiz.de/10001754364
Cover Image
Arbitrage-free valuation of bilateral counterparty risk for interest-rate products : impact of volatilities and correlations
Brigo, Damiano; Pallavicini, Andrea; Papatheodorou, … - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 773-802
Persistent link: https://www.econbiz.de/10009381011
Cover Image
A fundamental approach to corporate bond options
Simozar, Saied - In: International journal of financial engineering 11 (2024) 2, pp. 1-30
Persistent link: https://www.econbiz.de/10014574997
Cover Image
Dissecting the bond profitability premium
Campbell, T. Colin; Chichernea, Doina C.; Petkevich, Alex - In: Journal of financial markets 27 (2016), pp. 102-131
Persistent link: https://www.econbiz.de/10011722223
Cover Image
Zinsswaps und ausfallriskante Anleihen in Deutschland
Metzner, Günther - 2001
Persistent link: https://www.econbiz.de/10001615568