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Candidate Market Models and the Calibrated Cir++ Stochastic Intensity Model for Credit Default Swap Options and Callable Floaters

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References

2001Interest Rate Models Theory and Practice1,148 cited
2004Credit Risk: Modeling, Valuation and Hedging1,064 cited
2004Valuation of credit default swaps and swaptions86 cited
2003The Valuation of Credit Default Swap Options85 cited
2002Default Risk and Hazard Process56 cited
2005Market Models for CDS Options and Callable Floaters52 cited
2001A Libor Market Model with Default Risk46 cited
1997The pricing of credit risk derivatives41 cited
2003Alternative asset-price dynamics and volatility smile35 cited

Cited by

2005CDS Market Formulas and Models19 cited
2009VALUATION OF CREDIT DEFAULT SWAPTIONS AND CREDIT DEFAULT INDEX SWAPTIONS18 cited

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