Pages that link to "Item:Q3576954"
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The following pages link to AN EXACT FORMULA FOR DEFAULT SWAPTIONS’ PRICING IN THE SSRJD STOCHASTIC INTENSITY MODEL (Q3576954):
Displaying 21 items.
- Hedging of a credit default swaption in the CIR default intensity model (Q483934) (← links)
- Jump diffusion transition intensities in life insurance and disability annuity (Q495519) (← links)
- A mixed PDE-Monte Carlo approach for pricing credit default index swaptions (Q882492) (← links)
- Single name credit default swaptions meet single sided jump models (Q1025620) (← links)
- Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures (Q1749526) (← links)
- Semi-analytical formula for pricing bilateral counterparty risk of CDS with correlated credit risks (Q1753344) (← links)
- Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model (Q1776023) (← links)
- Analytical representations for the basic affine jump diffusion (Q1785484) (← links)
- Exit times, undershoots and overshoots for reflected CIR process with two-sided jumps (Q2195953) (← links)
- Linear credit risk models (Q2282965) (← links)
- Endogenous current coupons (Q2412391) (← links)
- Time-changed CIR default intensities with two-sided mean-reverting jumps (Q2448696) (← links)
- Credit derivatives pricing with stochastic volatility models (Q2842532) (← links)
- A SUBORDINATED CIR INTENSITY MODEL WITH APPLICATION TO WRONG-WAY RISK CVA (Q4555855) (← links)
- COCO BONDS PRICING WITH CREDIT AND EQUITY CALIBRATED FIRST-PASSAGE FIRM VALUE MODELS (Q5256831) (← links)
- PRICING COUNTERPARTY RISK INCLUDING COLLATERALIZATION, NETTING RULES, RE-HYPOTHECATION AND WRONG-WAY RISK (Q5299993) (← links)
- MULTI-CURRENCY CREDIT DEFAULT SWAPS (Q5384682) (← links)
- ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS (Q5411396) (← links)
- A Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries (Q5419654) (← links)
- Affine term structure models: A time‐change approach with perfect fit to market curves (Q6054424) (← links)
- Pricing airbag option via first passage time approach (Q6592293) (← links)
