scholarly journals Credit migration and basket derivatives pricing with copulas

2006 ◽  
Vol 10 (1) ◽  
pp. 43-68 ◽  
Author(s):  
Tony Berrada ◽  
Debbie Dupuis ◽  
Eric Jacquier ◽  
Nicolas Papageorgiou ◽  
Bruno Rémillard
Keyword(s):  
Derivatives Pricing ◽  
Credit Migration

Collateral and credit issues in derivatives pricing

2014 ◽  
Vol 10 (3) ◽  
pp. 3-28 ◽  
Author(s):  
John Hull ◽  
Alan White
Keyword(s):  
Derivatives Pricing

Credit migration risk modeling

2010 ◽  
Vol 6 (1) ◽  
pp. 3-30 ◽  
Author(s):  
Andreas Andersson ◽  
Paolo Vanini
Keyword(s):  
Risk Modeling ◽  
Credit Migration

Credit Migration Derivatives - Implementation, Calibration and Pricing

2008 ◽  
Author(s):  
Andreas Andersson
Keyword(s):  
Credit Migration

A Robust Prediction of Corporate Credit Migration

2009 ◽  
Author(s):  
Taehan Bae ◽  
Reginald J. Kulperger
Keyword(s):  
Corporate Credit ◽  
Credit Migration ◽  
Robust Prediction

Risk Premiums and VIX Derivatives Pricing

2018 ◽  
Author(s):  
Peixuan Yuan
Keyword(s):  
Derivatives Pricing ◽  
Risk Premiums ◽  
Vix Derivatives

Time-Varying Skew in VIX Derivatives Pricing

2020 ◽  
Author(s):  
Peixuan Yuan
Keyword(s):  
Time Varying ◽  
Derivatives Pricing ◽  
Vix Derivatives
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