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Four-factor model of Quanto CDS with jumps-at-default and stochastic recovery
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References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 1995Pricing Derivatives on Financial Securities Subject to Credit Risk2,001 cited
  • 2004Credit Risk: Modeling, Valuation and Hedging1,064 cited
  • 2000Pricing Financial Instruments: The Finite Difference Method479 cited
  • 2019Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads71 cited
  • 2005PDE approach to valuation and hedging of credit derivatives40 cited
  • 2011Jumps Without Tears: A New Splitting Technology for Barrier Options36 cited
  • 2003A robust test of Merton's structural model for credit risk25 cited
  • 2013Pricing credit default swaps with bilateral value adjustments23 cited
  • 2005CDS Market Formulas and Models19 cited

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