9 citations · 20 across the 22 of their papers we have counts for
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q-fin.PR2013★ 5 cited
Bilateral Credit Valuation Adjustment for Large Credit Derivatives Portfolios
Lijun Bo, Agostino Capponi
We obtain an explicit formula for the bilateral counterparty valuation adjustment of a credit default swaps portfolio referencing an asymptotically large number of entities. We per…
q-fin.PR2011
Credit derivatives pricing with default density term structure modelled by Lévy random fields
Lijun Bo, Ying Jiao, Xuewei Yang
We model the term structure of the forward default intensity and the default density by using Lévy random fields, which allow us to consider the credit derivatives with an after-de…