Pages that link to "Item:Q1644065"
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The following pages link to Pricing credit default swaps with bilateral counterparty risk in a reduced form model with Markov regime switching (Q1644065):
Displaying 28 items.
- A Markov copula model with regime switching and its application (Q272813) (← links)
- A reduced-form model for correlated defaults with regime-switching shot noise intensities (Q292361) (← links)
- Bilateral counterparty risk valuation on a CDS with a common shock model (Q479176) (← links)
- Partial differential equation pricing method for double-name credit-linked notes with counterparty risk in a reduced-form model with common shocks (Q517945) (← links)
- The intensity model for pricing credit securities with jump diffusion and counterparty risk (Q541467) (← links)
- Counterparty risk for credit default swaps: Markov chain interacting intensities model with stochastic intensity (Q836966) (← links)
- Pricing model of interest rate swap with a bilateral default risk (Q964973) (← links)
- Pricing credit default swaps under a multi-scale stochastic volatility model (Q1620315) (← links)
- Valuation of CDS counterparty risk under a reduced-form model with regime-switching shot noise default intensities (Q1690473) (← links)
- Pricing warrant bonds with credit risk under a jump diffusion process (Q1727102) (← links)
- A reduced-form model with default intensities containing contagion and regime-switching Vasicek processes (Q1787114) (← links)
- A Markov regime switching jump-diffusion model for the pricing of portfolio credit derivatives (Q1933756) (← links)
- Unilateral counterparty risk valuation for CDS under a regime switching interacting intensities model (Q1934584) (← links)
- A revised version of the Cathcart \& El-Jahel model and its application to CDS market (Q2064595) (← links)
- Basket credit derivative pricing in a Markov chain model with interacting intensities (Q2209220) (← links)
- A contagion model with Markov regime-switching intensities (Q2258911) (← links)
- Reliability for discrete state systems with cyclic missions periods (Q2281839) (← links)
- A Monte-Carlo based approach for pricing credit default swaps with regime switching (Q2293596) (← links)
- Unilateral counterparty risk valuation of CDS using a regime-switching intensity model (Q2446699) (← links)
- On a reduced form credit risk model with common shock and regime switching (Q2447411) (← links)
- Price discovery in the markets for credit risk: a Markov switching approach (Q2691657) (← links)
- Pricing credit derivatives in a Markov-modulated reduced-form model (Q2842530) (← links)
- Defaultable bond pricing using regime switching intensity model (Q2855153) (← links)
- A Multivariate Regime-Switching Mean Reverting Process and Its Application to the Valuation of Credit Risk (Q2875524) (← links)
- Pricing default risk in mortgage-backed securities under a regime-switching reduced-form model (Q5078511) (← links)
- PRICING-HEDGING DUALITY FOR CREDIT DEFAULT SWAPS AND THE NEGATIVE BASIS ARBITRAGE (Q5242956) (← links)
- Valuation of <i>k</i>th-to-default credit-linked notes with counterparty risk in a reduced-form model (Q6106209) (← links)
- Credit default swap pricing with counterparty risk in a reduced form model with a common jump process (Q6162799) (← links)
