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Constant Maturity Credit Default Swap Pricing with Market Models · Study

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PreprintConstant Maturity Credit Default Swap Pricing with Market Models

Damiano Brigo2005

OA

Preprintgreen2005

Constant Maturity Credit Default Swap Pricing with Market Models

17 citations·0/0 files stored·SSRN Electronic Journal

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Credit Risk and Financial Regulations Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

2001Interest Rate Models Theory and Practice 2004Credit Risk: Modeling, Valuation and Hedging 2004Valuation of credit default swaps and swaptions 2003The Valuation of Credit Default Swap Options 2001Credit: The Complete Guide to Pricing, Hedging and Risk Management 2002Default Risk and Hazard Process 2004Candidate Market Models and the Calibrated Cir++ Stochastic Intensity Model for Credit Default Swap Options and Callable Floaters

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2005CDS Market Formulas and Modelsarticle · 6 shared references 2004Candidate Market Models and the Calibrated Cir++ Stochastic Intensity Model for Credit Default Swap Options and Callable Floaterspreprint · 5 shared references 2009VALUATION OF CREDIT DEFAULT SWAPTIONS AND CREDIT DEFAULT INDEX SWAPTIONSarticle · 5 shared references 2005PRICING AND TRADING CREDIT DEFAULT SWAPS IN A HAZARD PROCESS MODELarticle · 4 shared references 2004Modeling and Valuation of Credit Riskchapter · 4 shared references 2010AN EXACT FORMULA FOR DEFAULT SWAPTIONS’ PRICING IN THE SSRJD STOCHASTIC INTENSITY MODELarticle · 3 shared references

Details

Year2005

Typepreprint

Published2005-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations17

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.2139/ssrn.639022

openalex_workW1783369506

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