Theory and Evidence on the Dynamic Interactions between Sovereign Credit Default Swaps and Currency Options

By Peter P. Carr, Liuren Wu. 2007

129 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/2123eb48cba3e03967b9e192e807a43bcf5e7d98

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Liuren Wu
2. Peter P. Carr
3. V. Todorov
4. Yue Kuen Kwok
5. Wendong Zheng
6. Marti G. Subrahmanyam
7. D. Tang
8. Patrick Augustin

Citations in the corpus

• A Simple Robust Link between American Puts and Credit Protection (2011, background): “Extensions and estimations of such jump-to-default models include Carr and Wu(2007, 2010),Carr and Linetsky (2006), andLe (2007).”
• CLOSED FORM PRICING FORMULAS FOR DISCRETELY SAMPLED GENERALIZED VARIANCE SWAPS (2011, background): “Carr and Wu (2007) assume stochastic hazard rate for the Poisson process, where the stochastic hazard rate parameter is assumed to be the sum of the instantaneous variance and a latent risk factor that follows a diffusion process with mean reversion drift rate.”
• Credit Default Swaps: A Survey (2014, methodology): “13Other related works on this topic include Carr and Wu [2010], for example.”