Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model

Finance and Stochastics

Volumn 9, Issue 1, 2005, Pages 29-42

  Brigo, Damiano ^a   Alfonsi, Aurélien ^b  

^a Intesa Sanpaolo SpA   (Italy)

^b UNIVERSITÉ PARIS EST   (France)

Author keywords

Calibration; Credit derivatives; Interest rate derivatives; Interest rate intensity correlation; Monte Carlo simulation

Indexed keywords

EID: 11144294143     PISSN: 09492984     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00780-004-0131-x     Document Type: Article

References (9)

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4. Brigo, D.: Candidate market models and the calibrated CIR++ stochastic intensity model for credit default swap options and callable floaters. Proceedings of the 4-th ICS Conference, Tokyo, March 18-19, 2004 (Available at www.damianobrigo.it and at www.ssrn.com) (forthcoming)
5. Brigo, D., Alfonsi, A.: Credit default swaps calibration and option pricing with the SSRD stochastic intensity and interest-rate model. Working paper at www.damianobrigo.it and reduced version in Proceedings of the 6-th Columbia-JAFEE Conference, Tokyo, March 15-16, 2003, pp. 563-585
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