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Market Models for CDS Options and Callable Floaters · Study

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ArticleMarket Models for CDS Options and Callable Floaters

Damiano Brigo2005

Article2005

Market Models for CDS Options and Callable Floaters

52 citations·0/0 files stored·Research Portal (King's College London)

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Credit Risk and Financial Regulations

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2011ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS 2006Counterparty Risk and Contingent CDS Valuation Under Correlation Between Interest-Rates and Default 2009Bilateral Counterparty Risk Valuation for Interest-Rate Products: Impact of Volatilities and Correlations 2011Credit Calibration with Structural Models and Equity Return Swap Valuation under Counterparty Risk 2009Charting a Course through the CDS Big Bang 2015COCO BONDS PRICING WITH CREDIT AND EQUITY CALIBRATED FIRST-PASSAGE FIRM VALUE MODELS 2005Counterparty Credit Risk Modeling: Risk Management, Pricing and Regulation.2004Candidate Market Models and the Calibrated Cir++ Stochastic Intensity Model for Credit Default Swap Options and Callable Floaters

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Year2005

Typearticle

Published2005-01-01

VenueResearch Portal (King's College London)

Languageen

Citations52

Files0 public / 0

ShelfStochastic processes and financial applications

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openalex_workW2471347482

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