Pricing credit default swaps with bilateral value adjustments

DOI10.1080/14697688.2013.828239zbMath1294.91183arXiv1207.6049OpenAlexW2061225585MaRDI QIDQ2879019

Ioana Savescu, Alexander Lipton-Lifschitz

Publication date: 5 September 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1207.6049

zbMATH Keywords

creditdebtfinancebilateral adjustment

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (7)

A stochastic partial differential equation model for the pricing of mortgage-backed securities ⋮ Structural default model with mutual obligations ⋮ A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation ⋮ NEW MODEL FOR PRICING QUANTO CREDIT DEFAULT SWAPS ⋮ Transition Probability of Brownian Motion in the Octant and its Application to Default Modelling ⋮ Efficient solution of structural default models with correlated jumps and mutual obligations ⋮ On the first hitting time density for a reducible diffusion process

Cites Work

• Optimal capital structure and endogenous default
• On the first passage problem for correlated Brownian motion
• A reflection principle for correlated defaults
• Double Lookbacks
• ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM
• PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH
• Modelling bonds and credit default swaps using a structural model with contagion
• COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION
• Primitives for the manipulation of general subdivisions and the computation of Voronoi
• Discrete credit barrier models

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