Credit contingent interest rate swap pricing
Author:
Publisher
Springer Science and Business Media LLC
Subject
Industrial and Manufacturing Engineering,Metals and Alloys,Strategy and Management,Mechanical Engineering
Link
http://link.springer.com/content/pdf/10.1186/s40929-017-0015-x.pdf
Reference18 articles.
1. Duffie D (1999) Credit swap valuation. Financ Anal J 55:73–87.
2. Hull J, White A (2000a) Valuing credit default swaps I: No counterparty default risk. J Deriv 8:29–40.
3. Hull J, White A (2000b) Valuing credit default swaps II: Modling default correlations. J Deriv 8:12–22.
4. Brigo D, Masetti M (2005) Risk neutral pricing of counterparty risk, counterparty credit risk modeling: risk management, pricing and regulation (Pykhtin M, ed.). Risk Books, London.
5. Sorensen EH, Bollier TF (1994) Pricing swap default risk. Financ Anal J 50:23–33.
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