Economy – Quantitative Finance – Pricing of Securities
Scientist
Economy
Quantitative Finance
Pricing of Securities
Scientist
Arbitrage-free Pricing of Credit Index Options: The no-armageddon pricing measure and the role of correlation after the subprime crisis
Credit Calibration with Structural Models: The Lehman case and Equity Swaps under Counterparty Risk
Dangers of Bilateral Counterparty Risk: the fundamental impact of closeout conventions
Impact of the first to default time on Bilateral CVA
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