Valuation of CDS counterparty risk under a reduced-form model with regime-switching shot noise default intensities

Author:

Dong Yinghui,Yuen Kam Chuen,Wang Guojing

Publisher

Springer Science and Business Media LLC

Subject

Mathematics (miscellaneous)

Reference21 articles.

1. Bielecki T R, Rutkowski M. Credit Risk: Modeling, Valuation and Hedging. Berlin: Springer, 2004

2. Bielecki T, Crépey S, Jeanblanc M, Zargari B. Valuation and hedging of CDS counterparty exposure in a Markov copula model. Int J Theor Appl Finance, 2012, 15(1): 1–39

3. Brigo D, Capponi A. Bilateral counterparty risk with application to CDSs. Risk, 2010, 23(3): 85–90

4. Buffington J, Elliott R J. American options with regime switching. Int J Theor Appl Finance, 2002, 5: 497–514

5. Cesari G, Aquilina J, Niels Charpillon N, Filipovic Z, Lee G, Manda I. Modelling, Pricing, and Hedging Counterparty Credit Exposure: A Technical Guide. Berlin: Springer, 2010

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