Risky Swaps
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Other versions of this item:
- Gikhman, Ilya, 2008. "Risky Swaps," MPRA Paper 7078, University Library of Munich, Germany, revised 31 Mar 2008.
- Gikhman, Ilya, 2008. "Risky Swaps," MPRA Paper 7079, University Library of Munich, Germany.
References listed on IDEAS
- Robert A. Jarrow & Stuart M. Turnbull, 2008.
"Pricing Derivatives on Financial Securities Subject to Credit Risk,"
World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 17, pages 377-409,
World Scientific Publishing Co. Pte. Ltd..
- Jarrow, Robert A & Turnbull, Stuart M, 1995. "Pricing Derivatives on Financial Securities Subject to Credit Risk," Journal of Finance, American Finance Association, vol. 50(1), pages 53-85, March.
- Merton, Robert C, 1974.
"On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,"
Journal of Finance, American Finance Association, vol. 29(2), pages 449-470, May.
- Merton, Robert C., 1973. "On the pricing of corporate debt: the risk structure of interest rates," Working papers 684-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- ilya, gikhman, 2005. "Options valuation," MPRA Paper 1452, University Library of Munich, Germany.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
- Ilya, Gikhman, 2007. "Corporate debt pricing I," MPRA Paper 1450, University Library of Munich, Germany.
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Cited by:
- Ilya, Gikhman, 2008. "Multiple risky securities valuation I," MPRA Paper 34511, University Library of Munich, Germany, revised 2011.
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More about this item
Keywords
Default; risk neutral valuation; credit default swap; constant maturity default swap; equity default swap; asset swap; total return swap; credit linked note; floating rate risky bond; counter party risk; credit spread;All these keywords.
JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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