Linear credit risk models

This publication has 39 references indexed in Scilit:

• Hedging of a credit default swaption in the CIR default intensity model
  Finance and Stochastics, 2010
• AN EXACT FORMULA FOR DEFAULT SWAPTIONS’ PRICING IN THE SSRJD STOCHASTIC INTENSITY MODEL
  Mathematical Finance, 2010
• Sato Processes in Default Modelling
  Applied Mathematical Finance, 2010
• Pricing and trading credit default swaps in a hazard process model
  The Annals of Applied Probability, 2008
• Market price of risk specifications for affine models: Theory and evidence☆
  Journal of Financial Economics, 2007
• Equivalent and absolutely continuous measure changes for jump-diffusion processes
  The Annals of Applied Probability, 2005
• Valuation of credit default swaps and swaptions
  Finance and Stochastics, 2004
• Evaluating an Alternative Risk Preference in Affine Term Structure Models
  The Review of Financial Studies, 2003
• The Valuation of Credit Default Swap Options
  The Journal of Derivatives, 2003
• Term Premia and Interest Rate Forecasts in Affine Models
  The Journal of Finance, 2002