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Valuation of credit default swaps and swaptions · Study

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ArticleValuation of credit default swaps and swaptions

Farshid Jamshidian2004

Article2004

Valuation of credit default swaps and swaptions

Farshid Jamshidian

86 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Corporate Insolvency and Governance Credit Risk and Financial Regulations

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References

1999Modeling Term Structures of Defaultable Bonds 1998On cox processes and credit risky securities 2000On Models of Default Risk 2005Affine stochastic mortality 2004Forecasting Default in the Face of Uncertainty

Cited by

2009Solving the Puzzle in the Interest Rate Market 2004A GENERAL FRAMEWORK FOR PRICING CREDIT RISK 2006PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS 2010AN EXACT FORMULA FOR DEFAULT SWAPTIONS’ PRICING IN THE SSRJD STOCHASTIC INTENSITY MODEL 2007Chapter 11 Valuation of Basket Credit Derivatives in the Credit Migrations Environment 2005PRICING AND TRADING CREDIT DEFAULT SWAPS IN A HAZARD PROCESS MODEL 2004Modeling and Valuation of Credit Risk 2006Credit Risk Models I: Default Correlation in Intensity Models

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2009Credit Risk Models with Incomplete Informationarticle · 4 shared references 2006Information Reduction in Credit Risk Modelsarticle · 4 shared references 2004A General Formula for Valuing Defaultable Securitiesarticle · 3 shared references 2005Credit risk modeling with affine processesarticle · 3 shared references 2008Modelling stochastic mortality for dependent livesarticle · 3 shared references 2004A GENERAL FRAMEWORK FOR PRICING CREDIT RISKarticle · 3 shared references

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Year2004

Typearticle

Published2004-04-28

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations86

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00780-004-0122-y

openalex_workW1995684172

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