These are all the papers that have the " 60J60 " classification. Note that not all authors/journals assign MSC codes. (sorted by date) On Multi-Particle Brownian Survivals and the Spherical Laplacian
by Bannur S. Balakrishna of Unaffiliated
(443K PDF) -- 17 pages -- February 18, 2013 Credit Default Swaps Liquidity Modeling: A survey
by Damiano Brigo of Imperial College,
Mirela Predescu of Lloyds TSB, and
Agostino Capponi of the California Institute of Technology
(436K PDF) -- 36 pages -- March 20, 2010 Bilateral Counterparty Risk Valuation for Interest-rate Products: Impact of volatilities and correlations
by Damiano Brigo of Imperial College & Fitch Solutions,
Andrea Pallavicini of Banca Leonardo, and
Vasileios Papatheodorou of Fitch Solutions
(451K PDF) -- 23 pages -- February 3, 2010 Bilateral Counterparty Risk Valuation with Stochastic Dynamical Models and Application to Credit Default Swaps
by Damiano Brigo of Imperial College & FitchSolutions,
Agostino Capponi of the California Institute of Technology
(371K PDF) -- 32 pages -- November 18, 2009 Counterparty Risk for Credit Default Swaps: Impact of spread volatility and default correlation
by Damiano Brigo of FitchSolutions & Imperial College, and
Kyriakos Chourdakis of FitchSolutions & University of Essex
(213K PDF) -- 19 pages -- October 3, 2008 Counterparty Risk Valuation for Energy-commodities Swaps: Impact of volatilities and correlation
by Damiano Brigo of FitchSolutions & Imperial College,
Kyriakos Chourdakis of FitchSolutions & University of Essex, and
Imane Bakkar of FitchSolutions
(345K PDF) -- 21 pages -- June 24, 2008 Counterparty Risk and Contingent CDS Valuation Under Correlation Between Interest-Rates and Default
by Damiano Brigo of FitchSolutions & Imperial College, London, and
Andrea Pallavicini of Banca Leonardo
(201K PDF) -- 19 pages -- March 26, 2008 A Stochastic Processes Toolkit for Risk Management
by Damiano Brigo of FitchSolutions,
Antonio Dalessandro of FitchSolutions,
Matthias Neugebauer of FitchSolutions, and
Fares Triki of FitchSolutions
(2,995K PDF) -- 43 pages -- November 15, 2007 A Jump to Default Extended CEV Model: An application of Bessel processes
by Peter Carr of Bloomberg & NYU Courant Institute, and
Vadim Linetsky of Northwestern University
(284K PDF) -- 25 pages -- September 2006 Arbitrage Pricing of Single-Name Credit Derivatives
by Lixin Wu of the Hong Kong University of Science & Technology
(163K PDF) -- 20 pages -- January 26, 2006 The Stochastic Intensity SSRD Model Implied Volatility Patterns for Credit Default Swap Options and the Impact of Correlation
by Damiano Brigo of Banca IMI, and
Laurent Cousot of Courant Institute
(257K PDF) -- 28 pages -- September 12, 2004 Credit Default Swap Calibration and Derivatives Pricing with the SSRD Stochastic Intensity Model
by Damiano Brigo of Banca IMI, and
Aurélien Alfonsi of Banca IMI
(291K PDF) -- 27 pages -- February 18, 2004 Multiscale Stochastic Volatility Asymptotics
by Jean-Pierre Fouque of North Carolina State University,
George Papanicolaou of Stanford University,
Ronnie Sircar of Princeton University, and
Knut Sřlna of the University of California, Irvine
(247K PDF) -- 21 pages -- October 2003
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