(equities, interest and exchange rates, indices, bank loans), most vanilla and exotic derivatives (swaps, futures, options …

of the derivative, but also the probability of default of a counterparty. Another complication arises in the calculation … needed to incorporate the wrong-way risk. A semi-analytical CVA formula simplifying the interest rate swap (IRS) valuation …

corresponding to a chosen tenor. A forward credit spread volatility function depending on the entire credit spread term structure is …

the prices of defaultable coupon bonds, asset swap rates and default swap rates for which closed-form solutions are given … formula for options on default swaps is made exact in a modified modelling framework using an analogy to the swap measure, the … default swap measure. …