Credit derivative evaluation and CVA under the benchmark approach

DOI10.1007/s10690-015-9204-4zbMath1368.91178OpenAlexW1997433831MaRDI QIDQ2013322

Eckhard Platen, Jan Baldeaux

Publication date: 17 August 2017

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10453/37603

zbMATH Keywords

credit derivativesaffine processescredit valuation adjustmentbenchmark approachreal world pricing

Mathematics Subject Classification ID

Credit risk (91G40)

Cites Work

• Unnamed Item
• Martingale methods in financial modelling.
• Term-structure models. A graduate course
• Numerical solution of stochastic differential equations with jumps in finance
• Modelling, pricing, and hedging counterparty credit exposure. A technical guide
• Functionals of multidimensional diffusions with applications to finance
• A benchmark approach to quantitative finance
• COUNTERPARTY RISK FOR CREDIT DEFAULT SWAP WITH STATES RELATED DEFAULT INTENSITY PROCESSES
• COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION
• BENCHMARKED RISK MINIMIZATION

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