Pricing Barrier Options and Credit Default Swaps (CDS) in Spectrally One-Sided Levy Models: The Parabolic Laplace Inversion Method

SSRN Electronic Journal ◽

10.2139/ssrn.2348194 ◽

2013 ◽

Cited By ~ 1

Author(s):

Mitya Boyarchenko ◽

Sergei Levendorskii

Keyword(s):

Credit Default Swaps ◽

Inversion Method ◽

Barrier Options ◽

Laplace Inversion ◽

Credit Default

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Pricing discrete barrier options and credit default swaps under Lévy processes

Quantitative Finance ◽

10.1080/14697688.2013.826814 ◽

2013 ◽

Vol 14 (8) ◽

pp. 1337-1365 ◽

Cited By ~ 32

Author(s):

Marco De Innocentis ◽

Sergei Levendorskiĭ

Keyword(s):

Lévy Processes ◽

Credit Default Swaps ◽

Levy Processes ◽

Barrier Options ◽

Credit Default

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EFFICIENT PRICING OF BARRIER OPTIONS AND CREDIT DEFAULT SWAPS IN LÉVY MODELS WITH STOCHASTIC INTEREST RATE

Mathematical Finance ◽

10.1111/mafi.12121 ◽

2016 ◽

Vol 27 (4) ◽

pp. 1089-1123 ◽

Cited By ~ 11

Author(s):

Svetlana Boyarchenko ◽

Sergei Levendorskiĭ

Keyword(s):

Interest Rate ◽

Credit Default Swaps ◽

Stochastic Interest Rate ◽

Barrier Options ◽

Stochastic Interest ◽

Credit Default

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Pricing Discrete Barrier Options and Credit Default Swaps Under Levy Processes

SSRN Electronic Journal ◽

10.2139/ssrn.2080215 ◽

2012 ◽

Cited By ~ 1

Author(s):

Marco de Innocentis ◽

Sergei Z. Levendorskii

Keyword(s):

Lévy Processes ◽

Credit Default Swaps ◽

Levy Processes ◽

Barrier Options ◽

Credit Default

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Ghost Calibration and Pricing Barrier Options and CDS in Spectrally One-Sided L'evy Models: The Parabolic Laplace Inversion Method

SSRN Electronic Journal ◽

10.2139/ssrn.2445318 ◽

2014 ◽

Author(s):

Mitya Boyarchenko ◽

Sergei Levendorskii

Keyword(s):

Inversion Method ◽

Barrier Options ◽

Laplace Inversion

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Ghost calibration and the pricing of barrier options and CDS in spectrally one-sided Lévy models: the parabolic Laplace inversion method

Quantitative Finance ◽

10.1080/14697688.2014.941914 ◽

2014 ◽

Vol 15 (3) ◽

pp. 421-441 ◽

Cited By ~ 20

Author(s):

Mitya Boyarchenko ◽

Sergei Levendorskiĭ

Keyword(s):

Inversion Method ◽

Barrier Options ◽

Laplace Inversion

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Valuing Credit Default Swaps I: No Counterparty Default Risk

CFA Digest ◽

10.2469/dig.v31.n2.888 ◽

2001 ◽

Vol 31 (2) ◽

pp. 91-92 ◽

Cited By ~ 1

Author(s):

Bruce D. Phelps

Keyword(s):

Default Risk ◽

Credit Default Swaps ◽

Credit Default

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The Role of Credit Default Swaps and Other Alternative Betas in Hedge Fund Factor Analysis

CFA Digest ◽

10.2469/dig.v43.n1.15 ◽

2013 ◽

Vol 43 (1) ◽

pp. 81-83

Author(s):

Derek W. Johnson

Keyword(s):

Factor Analysis ◽

Hedge Fund ◽

Credit Default Swaps ◽

Credit Default

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In Defense of Credit Default Swaps

SSRN Electronic Journal ◽

10.2139/ssrn.1126732 ◽

2008 ◽

Author(s):

Charles Davi

Keyword(s):

Credit Default Swaps ◽

Credit Default

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Self-Referencing Credit Default Swaps: Not Such an Absurd Idea?

SSRN Electronic Journal ◽

10.2139/ssrn.1479847 ◽

2009 ◽

Author(s):

Ari Joshua Brandes

Keyword(s):

Credit Default Swaps ◽

Credit Default

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A Primer on Credit Default Swaps (CDS)

SSRN Electronic Journal ◽

10.2139/ssrn.1555118 ◽

2009 ◽

Cited By ~ 1

Author(s):

Thomas Coleman

Keyword(s):

Credit Default Swaps ◽

Credit Default

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