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Close form pricing formulas for Coupon Cancellable CoCos

Corcuera, José Manuel; De Spiegeleer, Jan; Barbachan, … - In: Journal of banking & finance 42 (2014), pp. 339-351

Persistent link: https://www.econbiz.de/10010408370

Levy processes in credit risk

Schoutens, Wim; Cariboni, Jessica - 2009

Persistent link: https://www.econbiz.de/10004944146

Comparing some alternative Lévy base correlation models for pricing and hedging CDO tranches

Masol, Viktoriya; Schoutens, Wim - 2008

Persistent link: https://www.econbiz.de/10003709746

Lévy processes in credit risk

Schoutens, Wim; Cariboni, Jessica - 2009

Persistent link: https://www.econbiz.de/10003825519

Single name credit default swaptions meet single sided jump models

Jönsson, Henrik; Schoutens, Wim - In: Review of derivatives research 11 (2008) 1/2, pp. 153-169

Persistent link: https://www.econbiz.de/10003829573

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

Quantitative assessment of securitisation deals

Campolongo, Francesca; Jönsson, Henrik; Schoutens, Wim - 2012

Persistent link: https://www.econbiz.de/10009623223

Basket option pricing and implied correlation in a Lévy copula model

Linders, Daniël; Schoutens, Wim - 2014

Persistent link: https://www.econbiz.de/10010422208

Portfolio insurances, CPPI and CPDO, truth or illusion?

Joossens, Elisabeth; Schoutens, Wim - In: Alternative investments and strategies : credit, …, (pp. 259-294). 2010

Persistent link: https://www.econbiz.de/10008655200

The Relationship between Risk-Neutral and Actual Default Probabilities : The Credit Risk Premium

Heynderickx, Wouter - 2017

The relationship between the risk-neutral measure Q and the actual or real-world measure P, and the corresponding credit risk premium, are investigated in this paper. Quantifying and understanding the long-term average risk premium is important for a variety of financial applications and...

Persistent link: https://www.econbiz.de/10012971449