Valuation of credit default swaps and swaptions

Finance and Stochastics

Volumn 8, Issue 3, 2004, Pages 343-371

  Jamshidian, Farshid ^a  

^a NIBCapital Bank   (Netherlands)

Author keywords

Coadapted numeraires; Conditional survival probability; Credit default swap; Prenumeraire; Preprice; Recovery; Subfiltration; Swap rate; Swaption

Indexed keywords

EID: 24144448963     PISSN: 09492984     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00780-004-0122-y     Document Type: Article

References (10)

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