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Valuation of credit default swaps and swaptions

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References

1999Modeling Term Structures of Defaultable Bonds2,547 cited
1998On cox processes and credit risky securities1,213 cited
2000On Models of Default Risk238 cited
2005Affine stochastic mortality192 cited
2004Forecasting Default in the Face of Uncertainty88 cited

Cited by

2009Solving the Puzzle in the Interest Rate Market85 cited
2004A GENERAL FRAMEWORK FOR PRICING CREDIT RISK84 cited
2006PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS81 cited
2010AN EXACT FORMULA FOR DEFAULT SWAPTIONS’ PRICING IN THE SSRJD STOCHASTIC INTENSITY MODEL68 cited
2007Chapter 11 Valuation of Basket Credit Derivatives in the Credit Migrations Environment54 cited
2005PRICING AND TRADING CREDIT DEFAULT SWAPS IN A HAZARD PROCESS MODEL47 cited
2004Modeling and Valuation of Credit Risk43 cited
2006Credit Risk Models I: Default Correlation in Intensity Models40 cited
2010Pricing equity default swaps under the jump-to-default extended CEV model37 cited
2009Charting a Course through the CDS Big Bang28 cited
2004

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Candidate Market Models and the Calibrated Cir++ Stochastic Intensity Model for Credit Default Swap Options and Callable Floaters

27 cited

2010On the robustness of longevity risk pricing24 cited

2006Hedging of Credit Derivatives in Models with Totally Unexpected Default24 cited

2006Credit Derivatives Pricing with a Smile-Extended Jump Stochastic Intensity Model24 cited

2010Modelling the evolution of credit spreads using the Cox process within the HJM framework: A CDS option pricing model21 cited

2019Linear credit risk models20 cited