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Volumn 9, Issue 1, 2001, Pages 18-27

Recent advances in default swap valuation

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EID: 84888926505     PISSN: 10741240     EISSN: None     Source Type: Journal    
DOI: 10.3905/jod.2001.319166     Document Type: Article
Times cited : (3)

References (17)
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  • 3
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    • (2000) Management Science , vol.46 , Issue.1 , pp. 46-62
    • Das, S.D.1    Sundaram, R.K.2
  • 5
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    • Credit swap valuation
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    • Duffie, D. "Credit Swap Valuation." Financial Analysts Journal, January/February 1999, pp. 73-87.
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    • Duffie, D.1
  • 6
    • 0033416234 scopus 로고    scopus 로고
    • Modeling term structures of defaultable bonds
    • Duffie, D., and K. Singleton. "Modeling Term Structures of Defaultable Bonds." Review of Financial Studies, Vol. 12, No. 4 (1999), pp. 687-720.
    • (1999) Review of Financial Studies , vol.12 , Issue.4 , pp. 687-720
    • Duffie, D.1    Singleton, K.2
  • 7
    • 85014146332 scopus 로고    scopus 로고
    • Valuing credit default swaps i: No counterparty default risk
    • Hull, J., and A. White. "Valuing Credit Default Swaps I: No Counterparty Default Risk." The Journal of Derivatives, Vol. 8, (2000), pp. 29-40.
    • (2000) The Journal of Derivatives , vol.8 , pp. 29-40
    • Hull, J.1    White, A.2
  • 8
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    • Valuing credit default swaps II: Modeling default cor-relations
    • --. "Valuing Credit Default Swaps II: Modeling Default Cor-relations." The Journal of Derivatives, Vol. 8 (2001), pp. 12-21.
    • (2001) The Journal of Derivatives , vol.8 , pp. 12-21
    • Hull, J.1    White, A.2
  • 9
    • 85021634260 scopus 로고    scopus 로고
    • Credit risk
    • New York: John Wiley & Sons
    • Jarrow, R., and S. Turnbull. "Credit Risk." In Risk Management and Analysis, Vol. 1. New York: John Wiley & Sons, 1998, pp. 237-254.
    • (1998) Risk Management and Analysis , vol.1 , pp. 237-254
    • Jarrow, R.1    Turnbull, S.2
  • 12
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    • Pricing options on financial securities subject to default risk
    • --. "Pricing Options on Financial Securities Subject to Default Risk." Journal of Finance, Vol. 50 (1995), pp. 53-86.
    • (1995) Journal of Finance , vol.50 , pp. 53-86
    • Jarrow, R.1    Turnbull, S.2
  • 13
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    • Valuation of a credit swap of the basket type
    • Kijima, M. "Valuation of a Credit Swap of the Basket Type." Review of Derivatives Research, Vol. 4 (2000), pp. 81-97.
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    • Kijima, M.1
  • 14
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    • Credit events and valuation of credit derivatives of basket type
    • Kijima, M., and Y. Muromachi. "Credit Events and Valuation of Credit Derivatives of Basket Type." Review of Derivatives Research, Vol. 4 (2000), pp. 55-79.
    • (2000) Review of Derivatives Research , vol.4 , pp. 55-79
    • Kijima, M.1    Muromachi, Y.2
  • 15
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    • Lando, D. "On Cox Processes and Credit Risky Securities." Review of Derivatives Research, Vol. 2, No. 2/3 (1998), pp. 99-120.
    • (1998) Review of Derivatives Research , vol.2 , Issue.2-3 , pp. 99-120
    • Lando, D.1
  • 16
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