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COUNTERPARTY RISK PRICING: IMPACT OF CLOSEOUT AND FIRST-TO-DEFAULT TIMES.
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- International Journal of Theoretical & Applied Finance, 2012, v. 15, n. 6, p. -1, doi. 10.1142/S0219024912500392
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NO-ARMAGEDDON MEASURE FOR ARBITRAGE-FREE PRICING OF INDEX OPTIONS IN A CREDIT CRISIS.
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- Mathematical Finance, 2011, v. 21, n. 4, p. 573, doi. 10.1111/j.1467-9965.2010.00444.x
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- Article
Efficient Analytical Cascade Calibration of the LIBOR Market Model with Endogenous Interpolation.
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- Journal of Derivatives, 2006, v. 14, n. 1, p. 40, doi. 10.3905/jod.2006.650198
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- Article