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ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS
16 references·2 citing·34 second hop
ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS (2011)ARBITRAGE-FREE VALUATION OF BILATERAL COU…Funding, Collateral and Hedging: Uncovering the Mechanics and the Subtleties of Funding Valuation Adjustments (2012)Funding, Collateral and Hedgi…ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS (2012)ARBITRAGE‐FREE BILATERAL COUN…Funding Valuation Adjustment: A Consistent Framework Including CVA, DVA, Collateral, Netting Rules and Re-Hypothecation (2011)Funding Valuation Adjustment:…Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment Including Re-Hypotecation and Netting (2011)Collateral Margining in Arbit…Credit value adjustment for credit default swaps via the structural default model (2009)Credit value adjustment for c…COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION (2009)COUNTERPARTY RISK FOR CREDIT …Being Two-Faced Over Counterparty Credit Risk (2009)Being Two-Faced Over Counterp…A comparison of biased simulation schemes for stochastic volatility models (2009)A comparison of biased simula…Simple and efficient simulation of the Heston stochastic volatility model (2008)Simple and efficient simulati…Interest rate models : theory and practice : with smile, inflation and credit (2006)Interest rate models : theory…Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes (2006)Exact Simulation of Stochasti…Credit Risk: Modeling, Valuation and Hedging (2004)Credit Risk: Modeling, Valuat…Credit Risk Modeling (2004)Credit Risk ModelingCredit default swap calibration and derivatives pricing with the SSRD stochastic intensity model (2004)Credit default swap calibrati…Interest Rate Models Theory and Practice (2001)Interest Rate Models Theory a…Pricing Swap Default Risk (1994)Pricing Swap Default RiskA Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries (2014)A Bottom-Up Dynamic Model of …The Cost of Counterparty Risk and Collateralization in Longevity Swaps (2012)The Cost of Counterparty Risk…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)Structural versus Reduced‐Form Models: A New Information‐Based Perspective (2012)On cox processes and credit risky securities (1998)Bilateral Counterparty Risk Valuation with Stochastic Dynamical Models and Application to Credit Default Swaps (2008)Computational techniques for basic affine models of portfolio credit risk (2009)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Numerical solution of stochastic differential equations (2016)Exploring the sources of default clustering (2018)Deep hedging (2019)Continuous Martingales and Brownian Motion (1999)A probabilistic numerical method for fully nonlinear parabolic PDEs (2011)Strong convergence rates for backward Euler–Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients (2012)First order strong approximations of scalar SDEs defined in a domain (2014)Financial Ratios As Predictors of Failure (1966)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The Bond Market's q * (2009)From failure to failure: The politics of international banking regulation (2011)Pricing and Hedging Spread Options (2003)A Benchmark Approach to Quantitative Finance (2006)Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (2006)The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks* (2006)The Impact of Central Clearing on Counterparty Risk, Liquidity, and Trading: Evidence from the Credit Default Swap Market (2012)Funding Value Adjustments (2018)High order discretization schemes for the CIR process: Application to affine term structure and Heston models (2009)On the Heston Model with Stochastic Interest Rates (2011)Realized Skewness (2012)Handbook of Financial Engineering (2008)BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA (2012)
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References

  • 2001Interest Rate Models Theory and Practice1,148 cited
  • 2004Credit Risk: Modeling, Valuation and Hedging1,064 cited
  • 2006Interest rate models : theory and practice : with smile, inflation and credit737 cited
  • 2004Credit Risk Modeling530 cited
  • 2006Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes493 cited
  • 2009A comparison of biased simulation schemes for stochastic volatility models316 cited
  • 2008Simple and efficient simulation of the Heston stochastic volatility model266 cited
  • 1994Pricing Swap Default Risk210 cited
  • 2009COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION175 cited
  • 2004Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model163 cited
  • 2012ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS158 cited
  • 2009Credit value adjustment for credit default swaps via the structural default model151 cited
  • 2009Being Two-Faced Over Counterparty Credit Risk114 cited
  • 2011Funding Valuation Adjustment: A Consistent Framework Including CVA, DVA, Collateral, Netting Rules and Re-Hypothecation80 cited
  • 2012

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Funding, Collateral and Hedging: Uncovering the Mechanics and the Subtleties of Funding Valuation Adjustments
71 cited
  • 2011Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment Including Re-Hypotecation and Netting70 cited
  • Cited by

    • 2014A Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries35 cited
    • 2012The Cost of Counterparty Risk and Collateralization in Longevity Swaps22 cited