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Market Models for CDS Options and Callable Floaters
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Market Models for CDS Options and Callable Floaters (2005)Market Models for CDS Options and Callabl…COCO BONDS PRICING WITH CREDIT AND EQUITY CALIBRATED FIRST-PASSAGE FIRM VALUE MODELS (2015)COCO BONDS PRICING WITH CREDI…Credit Calibration with Structural Models and Equity Return Swap Valuation under Counterparty Risk (2011)Credit Calibration with Struc…ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS (2011)ARBITRAGE-FREE VALUATION OF B…Charting a Course through the CDS Big Bang (2009)Charting a Course through the…Bilateral Counterparty Risk Valuation for Interest-Rate Products: Impact of Volatilities and Correlations (2009)Bilateral Counterparty Risk V…The Lévy Libor model with default risk (2006)The Lévy Libor model with def…Credit Derivatives Pricing with a Smile-Extended Jump Stochastic Intensity Model (2006)Credit Derivatives Pricing wi…Counterparty Risk and Contingent CDS Valuation Under Correlation Between Interest-Rates and Default (2006)Counterparty Risk and Conting…Counterparty Credit Risk Modeling: Risk Management, Pricing and Regulation. (2005)Counterparty Credit Risk Mode…Candidate Market Models and the Calibrated Cir++ Stochastic Intensity Model for Credit Default Swap Options and Callable Floaters (2004)Candidate Market Models and t…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)Modeling Term Structures of Defaultable Bonds (1999)Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures (2018)Interest rate models : theory and practice : with smile, inflation and credit (2006)Bilateral Counterparty Risk Valuation with Stochastic Dynamical Models and Application to Credit Default Swaps (2008)COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION (2009)Stressed to the Core: Counterparty Concentrations and Systemic Losses in CDS Markets (2016)A Theory of the Term Structure of Interest Rates (1985)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Affine processes and applications in finance (2003)A New Approach to CIR Short-Term Rates Modelling (2018)The Pricing of Options and Corporate Liabilities (1973)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)Interest Rate Models Theory and Practice (2001)Credit Risk: Modeling, Valuation and Hedging (2004)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)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Short-Rate Pricing After the Liquidity and Credit Shocks: Including the Basis (2010)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)The Market Model of Interest Rate Dynamics (1997)Stochastic Differential Equations (2003)Valuation of credit default swaps and swaptions (2004)
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  • 2011ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS48 cited
  • 2006Counterparty Risk and Contingent CDS Valuation Under Correlation Between Interest-Rates and Default36 cited
  • 2009Bilateral Counterparty Risk Valuation for Interest-Rate Products: Impact of Volatilities and Correlations31 cited
  • 2011Credit Calibration with Structural Models and Equity Return Swap Valuation under Counterparty Risk29 cited
  • 2009Charting a Course through the CDS Big Bang28 cited
  • 2015COCO BONDS PRICING WITH CREDIT AND EQUITY CALIBRATED FIRST-PASSAGE FIRM VALUE MODELS27 cited
  • 2005Counterparty Credit Risk Modeling: Risk Management, Pricing and Regulation.27 cited
  • 2004Candidate Market Models and the Calibrated Cir++ Stochastic Intensity Model for Credit Default Swap Options and Callable Floaters27 cited
  • 2006Credit Derivatives Pricing with a Smile-Extended Jump Stochastic Intensity Model24 cited
  • 2006The Lévy Libor model with default risk19 cited

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