Valuation of credit default swaps and swaptions

@article{Jamshidian2004ValuationOC,
  title={Valuation of credit default swaps and swaptions},
  author={Farshid Jamshidian},
  journal={Finance and Stochastics},
  year={2004},
  volume={8},
  pages={343-371}
}
This paper presents a conceptual framework for valuation of single-name credit derivatives, and recuperates, in some cases generalizing, a few of known results in credit risk theory. Valuation is viewed with respect to a given state price density and relative to a general numeraire. Default probabilities and recoveries are considered as processes adapted to a subfiltration, following Jeanblanc and Rutosksy [JR], or, in the special case of Cox processes, Lando [L]. A result of Duffie and… CONTINUE READING
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