13 citations · 17 across the 4 of their papers we have counts for
4 papers
Interest-Rate Modeling with Multiple Yield Curves
Andrea Pallavicini, Marco Tarenghi
The crisis that affected financial markets in the last years leaded market practitioners to revise well known basic concepts like the ones of discount factors and forward rates. A…
Credit Calibration with Structural Models: The Lehman case and Equity Swaps under Counterparty Risk
Damiano Brigo, Massimo Morini, Marco Tarenghi
In this paper we develop structural first passage models (AT1P and SBTV) with time-varying volatility and characterized by high tractability, moving from the original work of Brigo…
Credit Default Swap Calibration and Counterparty Risk Valuation with a Scenario based First Passage Model
Damiano Brigo, Marco Tarenghi
In this work we develop a tractable structural model with analytical default probabilities depending on a random default barrier and possibly random volatility ideally associated w…
Credit Default Swap Calibration and Equity Swap Valuation under Counterparty Risk with a Tractable Structural Model
Damiano Brigo, Marco Tarenghi
In this paper we develop a tractable structural model with analytical default probabilities depending on some dynamics parameters, and we show how to calibrate the model using a ch…