Counterparty Credit Risk in a Multivariate Structural Model with Jumps-Reference-Cited by-同舟云学术

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Counterparty Credit Risk in a Multivariate Structural Model with Jumps

Published:2013 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Ballotta Laura,Fusai Gianluca

Publisher

Elsevier BV

Reference24 articles.

1. Multivariate asset models using L�vy processes and applications;L Ballotta;The European Journal of Finance URL,2014

2. Normal Inverse Gaussian distributions and the modeling of stock returns;O E Barndorff-Nielsen;Research report,1995

3. Changes of num�raire, changes of probability measure and option pricing;H Geman;Journal of Applied Probability,1995

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. Credit Value Adjustment with Market-Implied Recovery;SSRN Electronic Journal;2016

2. Default probabilities of a holding company, with complete and partial information;Journal of Computational and Applied Mathematics;2014-12

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