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Semi-Analytical Valuation of Basket Credit Derivatives in Intensity-Based Models
16 references·2 citing·36 second hopsampled
Semi-Analytical Valuation of Basket Credit Derivatives in Intensity-Based Models (2005)Semi-Analytical Valuation of Basket Credi…Valuation of a CDO and an n -th to Default CDS Without Monte Carlo Simulation (2004)Valuation of a CDO and an n -…Is Default Event Risk Priced in Corporate Bonds? (2004)Is Default Event Risk Priced …Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Corporate Yield Spreads: Defa…Credit Risk : Pricing, Measurement, and Management (2003)Credit Risk : Pricing, Measur…Credit Derivatives Pricing Models: Models, Pricing and Implementation (2003)Credit Derivatives Pricing Mo…Risk and Valuation of Collateralized Debt Obligations (2001)Risk and Valuation of Collate…Valuing Credit Default Swaps I (2000)Valuing Credit Default Swaps ITransform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …On Default Correlation (2000)On Default CorrelationModeling Term Structures of Defaultable Bonds (1999)Modeling Term Structures of D…Estimating the Price of Default Risk (1999)Estimating the Price of Defau…Credit Swap Valuation (1999)Credit Swap ValuationOn cox processes and credit risky securities (1998)On cox processes and credit r…Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Pricing Derivatives on Financ…VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)VALUING CORPORATE SECURITIES:…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…On the Relative Pricing of Long Maturity S&P 500 Index Options and CDX Tranches (2010)On the Relative Pricing of Lo…Default Intensities Implied by CDO Spreads: Inversion Formula and Model Calibration (2010)Default Intensities Implied b…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)The Determinants of Credit Spread Changes (2001)A Theory of the Term Structure of Interest Rates (1985)Default Risk in Equity Returns (2004)Option pricing when underlying stock returns are discontinuous (1976)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Affine processes and applications in finance (2003)Credit Risk: Modeling, Valuation and Hedging (2004)Brownian Motion and Stochastic Calculus (2007)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The valuation of options for alternative stochastic processes (1976)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)Dynamic Asset Pricing Theory. (1993)Counterparty Risk and the Pricing of Defaultable Securities (2001)Measuring Abnormal Bond Performance (2008)The Determinants of Credit Default Swap Premia (2009)Liquidity Risk and Expected Stock Returns (2003)Forecasting Default with the Merton Distance to Default Model (2008)The Aggregate Demand for Treasury Debt (2012)The effect of pro-environmental preferences on bond prices: Evidence from green bonds (2018)Credit Risk Modeling (2004)Stochastic Integration and Differential Equations (2005)An Empirical Comparison of Credit Spreads between the Bond Market and the Credit Default Swap Market (2006)A framework for assessing the systemic risk of major financial institutions (2009)An Introduction to Copulas (1999)Copula Modeling: An Introduction for Practitioners (2007)Quantitative Risk Management (2011)An equilibrium characterization of the term structure (1977)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)A Jump-Diffusion Model for Option Pricing (2002)
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References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS2,383 cited
  • 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market2,087 cited
  • 1995Pricing Derivatives on Financial Securities Subject to Credit Risk1,934 cited
  • 2000On Default Correlation1,257 cited
  • 1998On cox processes and credit risky securities1,213 cited
  • 1999Estimating the Price of Default Risk724 cited
  • 1999Credit Swap Valuation636 cited
  • 2001Risk and Valuation of Collateralized Debt Obligations599 cited
  • 2003Credit Risk : Pricing, Measurement, and Management587 cited
  • 2004Is Default Event Risk Priced in Corporate Bonds?566 cited
  • 2004Valuation of a CDO and an n -th to Default CDS Without Monte Carlo Simulation497 cited
  • 2000Valuing Credit Default Swaps I426 cited
  • 2003Credit Derivatives Pricing Models: Models, Pricing and Implementation

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355 cited

Cited by

  • 2010Default Intensities Implied by CDO Spreads: Inversion Formula and Model Calibration28 cited
  • 2010On the Relative Pricing of Long Maturity S&P 500 Index Options and CDX Tranches25 cited