Multi Currency Credit Default Swaps: Quanto Effects and FX Devaluation Jumps
Author:
Publisher
Elsevier BV
Reference20 articles.
1. Pricing and Trading Credit Default Swaps in a Hazard Process Model;R T Bielecki;Annals of Applied Probability,2008
2. PDE approach to valuation and hedging of credit derivatives;T R Bielecki;Quantitative Finance,2005
3. The Cost of Counterparty Risk and Collateralization in Longetivity Swaps;E Biffis;Journal of Risk and Insurance,2016
4. Credit Default Swap Calibration and Derivatives Pricing with the SSRD Stochastic Intensity Model;D Brigo;Finance and Stochastic,2005
5. Counterparty Risk for Credit Default Swaps: Impact of Spread Volatility and Default Correlation;D Brigo;International Journal of Theoretical and Applied Finance,2009
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