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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