Modelling the Evolution of Credit Spreads using the Cox Process within the HJM Framework: A CDS Option Pricing Model-Reference-Cited by-同舟云学术

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Modelling the Evolution of Credit Spreads using the Cox Process within the HJM Framework: A CDS Option Pricing Model

Published:2008 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Chiarella Carl,Fanelli Viviana,Musti Silvana

Publisher

Elsevier BV

Reference29 articles.

1. Arbitrage Theory in Continuous Time;T Bj�rk;OXFORD Finance,2004

2. Valuing Corporate Securities: Some Effects of Bond Indenture Provisions;F Black;Journal of Finance,1976

3. CDS Market Formulas and Models;D Brigo;Proceedings of the 18th Annual Warwick Options Conference,2005

4. An explicit, multi-factor credit default swap pricing model with correlated factors;R Chen;Journal of Financial and Quantitative Analysis,2008

Cited by 1 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 Derivative Pricing with Stochastic Volatility Models;SSRN Electronic Journal;2011

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