Valuation of credit default swaps and swaptions

  title={Valuation of credit default swaps and swaptions},
  author={Farshid Jamshidian},
  journal={Finance and Stochastics},
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
Highly Influential
This paper has highly influenced 14 other papers. REVIEW HIGHLY INFLUENTIAL CITATIONS
Highly Cited
This paper has 83 citations. REVIEW CITATIONS

From This Paper

Topics from this paper.
59 Citations
4 References
Similar Papers


Publications citing this paper.
Showing 1-10 of 59 extracted citations

83 Citations

Citations per Year
Semantic Scholar estimates that this publication has 83 citations based on the available data.

See our FAQ for additional information.


Publications referenced by this paper.
Showing 1-4 of 4 references


  • Schönbucher
  • : A Libor Market with Default Risk. Working paper…
  • 2000
Highly Influential
10 Excerpts

D: On Cox Processes and Credit Risky Securities

  • Lando
  • Review of Derivatives Research, 2(2/3), 99120,
  • 1998
Highly Influential
11 Excerpts


  • Arvanitis
  • and Gregory, J.: Credit. Risk Books, London,
  • 2001
Highly Influential
4 Excerpts

Similar Papers

Loading similar papers…