Integrated Structural Approach to Counterparty Credit Risk with Dependent Jumps-Reference-Cited by-同舟云学术

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Integrated Structural Approach to Counterparty Credit Risk with Dependent Jumps

Published:2015 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Ballotta Laura,Fusai Gianluca,Marazzina Daniele

Publisher

Elsevier BV

Reference51 articles.

1. Credit Exposure in the Presence of Initial Margin

2. A dynamic program for valuing corporate securities;M A Ayadi;European Journal of Operational Research,2016

3. Multivariate asset models using L�vy processes and applications;L Ballotta;The European Journal of Finance,2016

4. Multivariate FX models with jumps: triangles, quantos and implied correlation;L Ballotta;European Journal of Operational Research,2017

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Disentangling the Information Content of Government Bonds and Credit Default Swaps: An Empirical Analysis on Sovereigns and Banks;Frontiers in Applied Mathematics and Statistics;2016-12-02

2. Disentangling Wrong-Way Risk: Pricing CVA via Change of Measures and Drift Adjustment;SSRN Electronic Journal;2016

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