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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
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Financial derivatives pricing : selected works of Robert Jarrow
Jarrow, Robert A. - 2008
Persistent link: https://www.econbiz.de/10003765886
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Essays in term structure and credit spread models
Fan, Rong - 2002
Persistent link: https://www.econbiz.de/10003776097
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Modeling of contagion effects and their influence to the pricing and hedging of basket credit derivatives
Wang, Qian - 2006 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003320531
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Pricing vulnerable options with correlated credit risk under jump-diffusion processes
Tian, Lihui; Wang, Guanying; Wang, Xingchun; Wang, Yongjin - In: The journal of futures markets 34 (2014) 10, pp. 957-979
Persistent link: https://www.econbiz.de/10010508685
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On some classes of continuous time series models and their use in financial economics
Surulescu, Nicolae Mircea - 2010
Persistent link: https://www.econbiz.de/10008935502
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A unified approach to the theory of default risk and credit derivatives
Racicot, François-Éric; Théoret, Raymond - In: The credit derivatives handbook : global perspectives, …, (pp. 143-181). 2008
Persistent link: https://www.econbiz.de/10003748415
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Modeling and valuation of credit risk
Bielecki, Tomasz R.; Jeanblanc, Monique; Rutkowski, Marek - In: Stochastic methods in finance : lectures given at the …, (pp. 27-126). 2004
Persistent link: https://www.econbiz.de/10002526431
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Credit derivatives and structured credit : a guide for investors
Bruyère, Richard - 2006
Persistent link: https://www.econbiz.de/10003106500
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Credit risk and credit derivatives : special issue
Brenner, Menachem (contributor);  … - 1998
Persistent link: https://www.econbiz.de/10001497906