15 citations · 24 across the 8 of their papers we have counts for
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q-fin.CP2008★ 1 cited
Hedging of Defaultable Contingent Claims using BSDE with uncertain time horizon
Christophette Blanchet-Scalliet, Anne Eyraud-Loisel, Manuela Royer-Carenzi
This article focuses on the mathematical problem of existence and uniqueness of BSDE with a random terminal time which is a general random variable but not a stopping time, as it h…
q-fin.PR2008★ 15 cited
Counterparty risk valuation for CDS
Christophette Blanchet-Scalliet, Frédéric Patras
The valuation of counterparty risk for single name credit derivatives requires the computa- tion of joint distributions of default times of two default-prone entities. For a Merton…