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AN EXACT FORMULA FOR DEFAULT SWAPTIONS’ PRICING IN THE SSRJD STOCHASTIC INTENSITY MODEL

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2016Nonparametric machine learning models for predicting the credit default swaps: An empirical study37 cited

2006Counterparty Risk and Contingent CDS Valuation Under Correlation Between Interest-Rates and Default36 cited

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2009Bilateral Counterparty Risk Valuation for Interest-Rate Products: Impact of Volatilities and Correlations31 cited

2015COCO BONDS PRICING WITH CREDIT AND EQUITY CALIBRATED FIRST-PASSAGE FIRM VALUE MODELS27 cited

2012An Empirical Comparison of Alternative Credit Default Swap Pricing Models25 cited

2018Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures23 cited