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Constant Maturity Credit Default Swap Pricing with Market Models
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Constant Maturity Credit Default Swap Pricing with Market Models (2005)Constant Maturity Credit Default Swap Pri…Valuation of credit default swaps and swaptions (2004)Valuation of credit default s…Credit Risk: Modeling, Valuation and Hedging (2004)Credit Risk: Modeling, Valuat…Candidate Market Models and the Calibrated Cir++ Stochastic Intensity Model for Credit Default Swap Options and Callable Floaters (2004)Candidate Market Models and t…The Valuation of Credit Default Swap Options (2003)The Valuation of Credit Defau…Default Risk and Hazard Process (2002)Default Risk and Hazard Proce…Interest Rate Models Theory and Practice (2001)Interest Rate Models Theory a…Credit: The Complete Guide to Pricing, Hedging and Risk Management (2001)Credit: The Complete Guide to…VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)Corporate Debt Value, Bond Covenants, and Optimal Capital Structure (1994)Modeling Term Structures of Defaultable Bonds (1999)Quantitative models for operational risk: Extremes, dependence and aggregation (2006)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Forecasting: theory and practice (2022)On cox processes and credit risky securities (1998)On Models of Default Risk (2000)A GENERAL FRAMEWORK FOR PRICING CREDIT RISK (2004)Affine stochastic mortality (2005)Solving the Puzzle in the Interest Rate Market (2009)Point Processes and Queues (1981)Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)A Markov Model for the Term Structure of Credit Risk Spreads (1997)Pricing and trading credit default swaps in a hazard process model (2008)Optimal reinsurance and investment problem for an insurer with counterparty risk (2015)LIBOR and swap market models and measures (1997)The relationship between credit default swap spreads, bond yields, and credit rating announcements (2004)Valuation of a CDO and an n -th to Default CDS Without Monte Carlo Simulation (2004)Pricing credit default swaps under Lévy models (2007)The Effect of the Term Auction Facility on the London Interbank Offered Rate (2015)“Options, Futures, and Other Derivatives” (2016)A Benchmark Approach to Quantitative Finance (2006)Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (2006)A comparison of biased simulation schemes for stochastic volatility models (2009)Copula sensitivity in collateralized debt obligations and basket default swaps (2003)Modeling and Valuation of Credit Risk (2004)Importance Sampling for Portfolio Credit Risk (2005)CDS Market Formulas and Models (2005)VALUATION OF CREDIT DEFAULT SWAPTIONS AND CREDIT DEFAULT INDEX SWAPTIONS (2009)INFORMATIONALLY DYNAMIZED GAUSSIAN COPULA (2013)
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References

  • 2001Interest Rate Models Theory and Practice1,148 cited
  • 2004Credit Risk: Modeling, Valuation and Hedging1,064 cited
  • 2004Valuation of credit default swaps and swaptions86 cited
  • 2003The Valuation of Credit Default Swap Options85 cited
  • 2001Credit: The Complete Guide to Pricing, Hedging and Risk Management74 cited
  • 2002Default Risk and Hazard Process56 cited
  • 2004Candidate Market Models and the Calibrated Cir++ Stochastic Intensity Model for Credit Default Swap Options and Callable Floaters27 cited

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