These are all the papers that have the " 60J75 " classification. Note that not all authors/journals assign MSC codes. (sorted by date) Interest-Rate Modelling in Collateralized Markets: Multiple curves, credit-liquidity effects, CCPs
by Andrea Pallavicini of Banca IMI, Milan, and
Damiano Brigo of Imperial College, London
(286K PDF) -- 25 pages -- April 5, 2013 Pricing Counterparty Risk Including Collateralization, Netting Rules, Re-Hypothecation and Wrong-Way Risk
by Damiano Brigo of Imperial College London,
Agostino Capponi of Purdue University,
Andrea Pallavicini of Imperial College London, and
Vasileios Papatheodorou of Barclays Capital
(659K PDF) -- 39 pages -- March 2013 Finite Maturity Optimal Stopping of Levy Processes with Running Cost, Stopping Cost and Terminal Gain
by Budhi Arta Surya of Bandung Institute of Technology
(338K PDF) - 20 pages -- July 30, 2012 Precautionary Measures for Credit Risk Management in Jump Models
by Masahiko Egami of the Kyoto University, and
Kazutoshi Yamazaki of the Osaka University
(614K PDF) -- 31 pages -- June 20, 2011 Collateralized CDS and Default Dependence: Implications for the central clearing
by Masaaki Fujii of the University of Tokyo, and
Akihiko Takahashi of the University of Tokyo
(511K PDF) -- 17 pages -- April 11, 2011 The Impact of Margin Interest on the Valuation of Credit Default Swaps
by Yu Hang Kan of the Columbia University, and
Claus Pedersen of the Barclays Capital
(950K PDF) -- 38 pages -- March 4, 2011 Derivative Pricing under Asymmetric and Imperfect Collateralization and CVA
by Masaaki Fujii of the University of Tokyo, and
Akihiko Takahashi of the University of Tokyo
(268K PDF) -- 31 pages -- February 15, 2011 Pricing Basket Default Swaps in a Tractable Shot-noise Model
by Alexander Herbertsson of the University of Gothenburg,
Jiwook Jang of the Macquarie University, and
Thorsten Schmidt of the Chemnitz University of Technology
(683K PDF) -- 18 pages -- January 25, 2011 Exact and Efficient Simulation of Correlated Defaults
by Kay Giesecke of Stanford University,
Hossein Kakavand of the Perot Group,
Mohammad Mousavi of Stanford University, and
Hideyuki Takada of Mizuho-DL Financial Technology
(530K PDF) -- 29 pages -- November 2010 Ŕ la Carte of Correlation Models: Which one to choose?
by Harry Zheng of the Imperial College of London
(141K PDF) -- 12 pages -- October 19, 2010 Market Models for CDOs Driven by Time-inhomogeneous Lévy Processes
by Ernst Eberlein of the University of Freiburg,
Zorana Grbac of the University of Freiburg, and
Thorsten Schmidt of Chemnitz University of Technology
(268K PDF) -- 31 pages -- June 10, 2010 Credit Risk Premia and Quadratic BSDEs with a Single Jump
by Stefan Ankirchner of the Universtät Bonn,
Christophette Blanchet-Scalliet of the Université de Lyon, and
Anne Eyraud-Loisel of the Université Lyon 1
(303K PDF) -- 27 pages -- June 8, 2010 Credit Risk Modelling with Shot-noise Processes
by Raquel M. Gaspar of the Technical University of Lisbon, and
Thorsten Schmidt of Chemnitz University of Technology
(1,147K PDF) -- 25 pages -- April 4, 2010 Credit Models and the Crisis, or: How I learned to stop worrying and love the CDOs
by Damiano Brigo of Imperial College,
Andrea Pallavicini of Banca Leonardo, and
Roberto Torresetti of BBVA
(2,106K PDF) -- 66 pages -- February 17, 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 Pricing CDOs with State Dependent Stochastic Recovery Rates
by Salah Amraoui of BNP Paribas,
Laurent Cousot of BNP Paribas,
Sébastien Hitier of BNP Paribas, and
Jean-Paul Laurent of Université Lyon 1
(436K PDF) -- 38 pages -- September, 9, 2009 Stressing Rating Criteria Allowing for Default Clustering: The CPDO case
by Roberto Torresetti of Banco Bilbao Vizcaya Argentaria, and
Andrea Pallavicini of Banca Leonardo
(653K PDF) -- 37 pages -- September 4, 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 Pricing Synthetic CDO Tranches in a Model with Default Contagion using the Matrix-Analytic Approach
by Alexander Herbertsson of the University of Gothenburg
(406K PDF) -- 31 pages -- September 10, 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 Default Contagion in Large Homogeneous Portfolios
by Alexander Herbertsson of Göteborg University
(1,512K PDF) -- 24 pages -- November 10, 2007 Modelling Default Contagion using Multivariate Phase-type Distributions
by Alexander Herbertsson of Göteborg University
(862K PDF) -- 36 pages -- November 10, 2007 Calibration of CDO Tranches with the Dynamical Generalized-Poisson Loss Model
by Damiano Brigo of Banca IMI,
Andrea Pallavicini of Banca IMI, and
Roberto Torresetti of Banca IMI
(299K PDF) -- 35 pages -- May 3, 2007 Pricing k-th-to-default Swaps Under Default Contagion: The matrix-analytic approach
by Alexander Herbertsson of Göteborg University, and
Holger Rootzen of Chalmers University of Technology
(448K PDF) -- 27 pages -- November 27, 2006 Pricing Credit Default Swaps under Lévy Models
by Jessica Cariboni of the European Commission, and
Wim Schoutens of Katholieke Universiteit Leuven
(252K PDF) -- 23 pages -- November 22, 2004 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 A Simple Model for Credit Migration and Spread Curves
by Li Chen of Princeton University, and
Damir Filipović of the Federal Office of Private Insurance, Switzerland
(257K PDF) -- 28 pages -- May 26, 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 Pricing and Hedging of Credit Risk: Replication and Mean-Variance Approaches
by Tomasz R. Bielecki of the Illinois Institute of Technology, and
Monique Jeanblanc of the Université d'Évry Val d'Essonne, and
Marek Rutkowski of the Warsaw University of Technology
(299K PDF) -- 25 pages -- October 18, 2003
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