18 citations · 20 across the 4 of their papers we have counts for
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q-fin.CP2017
Influence of jump-at-default in IR and FX on Quanto CDS prices
A. Itkin, V. Shcherbakov, A. Veygman
We propose a new model for pricing Quanto CDS and risky bonds. The model operates with four stochastic factors, namely: hazard rate, foreign exchange rate, domestic interest rate,…
q-fin.CP2017★ 2 cited
Pricing Derivatives under Multiple Stochastic Factors by Localized Radial Basis Function Methods
Slobodan Milovanović, Victor Shcherbakov
We propose two localized Radial Basis Function (RBF) methods, the Radial Basis Function Partition of Unity method (RBF-PUM) and the Radial Basis Function generated Finite Differenc…