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PRICING COUNTERPARTY RISK INCLUDING COLLATERALIZATION, NETTING RULES, RE-HYPOTHECATION AND WRONG-WAY RISK
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PRICING COUNTERPARTY RISK INCLUDING COLLATERALIZATION, NETTING RULES, RE-HYPOTHECATION AND WRONG-WAY RISK (2013)PRICING COUNTERPARTY RISK INCLUDING COLLA…Counterparty Credit Risk, Collateral and Funding (2013)Counterparty Credit Risk, Col…ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS (2011)ARBITRAGE-FREE VALUATION OF B…AN EXACT FORMULA FOR DEFAULT SWAPTIONS’ PRICING IN THE SSRJD STOCHASTIC INTENSITY MODEL (2010)AN EXACT FORMULA FOR DEFAULT …COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION (2009)COUNTERPARTY RISK FOR CREDIT …Numerical Methods for Finance (2007)Numerical Methods for FinanceCredit default swap calibration and derivatives pricing with the SSRD stochastic intensity model (2004)Credit default swap calibrati…Integrated structural approach to Credit Value Adjustment (2018)Integrated structural approac…The pricing of commodity contracts (1976)A Theory of the Term Structure of Interest Rates (1985)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Time-changed CIR default intensities with two-sided mean-reverting jumps (2014)Nonparametric machine learning models for predicting the credit default swaps: An empirical study (2016)Interest Rate Models Theory and Practice (2001)Credit Risk: Modeling, Valuation and Hedging (2004)Interest rate models : theory and practice : with smile, inflation and credit (2006)COUNTERPARTY RISK PRICING: IMPACT OF CLOSEOUT AND FIRST-TO-DEFAULT TIMES (2012)The Cost of Counterparty Risk and Collateralization in Longevity Swaps (2012)A Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries (2014)On cox processes and credit risky securities (1998)Modeling Term Structures of Defaultable Bonds (1999)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)Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment Including Re-Hypotecation and Netting (2011)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Financial Modelling with Jump Processes (2003)Pricing Swap Default Risk (1994)Credit value adjustment for credit default swaps via the structural default model (2009)BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA (2012)Options, Futures, and Other Derivative Securities. (1990)Monte Carlo Methods in Financial Engineering (2003)The Effects of a Low Interest Rate Environment on Life Insurers (2015)“Options, Futures, and Other Derivatives” (2016)Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks (2014)The Valuation of Power Exchange Options with Counterparty Risk and Jump Risk (2016)Asymptotic Expansion as Prior Knowledge in Deep Learning Method for High Dimensional BSDEs (2017)
this work references cited by second hop

References

  • 2013Counterparty Credit Risk, Collateral and Funding176 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
  • 2010AN EXACT FORMULA FOR DEFAULT SWAPTIONS’ PRICING IN THE SSRJD STOCHASTIC INTENSITY MODEL68 cited
  • 2007Numerical Methods for Finance56 cited
  • 2011ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS48 cited

Cited by

  • 2018Integrated structural approach to Credit Value Adjustment19 cited

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