{"id":"https://openalex.org/W91173593","doi":"https://doi.org/10.2139/ssrn.508922","title":"Candidate Market Models and the Calibrated Cir++ Stochastic Intensity Model for Credit Default Swap Options and Callable Floaters","display_name":"Candidate Market Models and the Calibrated Cir++ Stochastic Intensity Model for Credit Default Swap Options and Callable Floaters","publication_year":2004,"publication_date":"2004-01-01","ids":{"openalex":"https://openalex.org/W91173593","doi":"https://doi.org/10.2139/ssrn.508922","mag":"91173593"},"language":"en","primary_location":{"id":"doi:10.2139/ssrn.508922","doi":"https://doi.org/10.2139/ssrn.508922","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.508922","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},"volume":null,"type":"preprint","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://doi.org/10.2139/ssrn.508922","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5005254246","display_name":"Damiano Brigo","orcid":"https://orcid.org/0000-0003-1636-8654","observed_orcids":["https://orcid.org/0000-0003-1636-8654"]},"institutions":[{"id":"https://openalex.org/I47508984","display_name":"Imperial College London","ror":"https://ror.org/041kmwe10","country_code":"GB","type":"education","lineage":["https://openalex.org/I47508984"]}],"countries":["GB"],"is_corresponding":true,"raw_author_name":"Damiano Brigo","raw_affiliation_strings":["Imperial College London - Department of Mathematics, South Kensington Campus, London SW7 2AZ, SW7 2AZ, United Kingdom","Imperial College London - Department of Mathematics"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Imperial College London - Department of Mathematics, South Kensington Campus, London SW7 2AZ, SW7 2AZ, United Kingdom","institution_ids":["https://openalex.org/I47508984"]},{"raw_affiliation_string":"Imperial College London - Department of Mathematics","institution_ids":["https://openalex.org/I47508984"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5005254246"],"corresponding_institution_ids":["https://openalex.org/I47508984"],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":false,"cited_by_count":26,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.5454000234603882,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.5454000234603882,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.4514000117778778,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.00019999999494757503,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/cox-ingersoll-ross-model","display_name":"Cox-Ingersoll-Ross model","score":0.8199999928474426},{"id":"https://openalex.org/keywords/change-of-numeraire","display_name":"change of numeraire","score":0.7670000195503235},{"id":"https://openalex.org/keywords/implied-volatility","display_name":"implied volatility","score":0.7620000243186951},{"id":"https://openalex.org/keywords/credit-derivatives-pricing","display_name":"credit derivatives pricing","score":0.47999998927116394}],"concepts":[{"id":"https://openalex.org/C96252135","wikidata":"https://www.wikidata.org/wiki/Q2305975","display_name":"Callable bond","level":3,"score":0.6699888706207275},{"id":"https://openalex.org/C30589699","wikidata":"https://www.wikidata.org/wiki/Q624028","display_name":"Credit default swap","level":3,"score":0.6480498909950256},{"id":"https://openalex.org/C99821215","wikidata":"https://www.wikidata.org/wiki/Q1136583","display_name":"Swap (finance)","level":2,"score":0.5742630362510681},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.44833311438560486},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.4085083305835724},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.3799293637275696},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.3765539526939392},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.3358503580093384},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.26234009861946106},{"id":"https://openalex.org/C178350159","wikidata":"https://www.wikidata.org/wiki/Q162714","display_name":"Credit risk","level":2,"score":0.22635430097579956},{"id":"https://openalex.org/C175025494","wikidata":"https://www.wikidata.org/wiki/Q179179","display_name":"Interest rate","level":2,"score":0.13135579228401184}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.2139/ssrn.508922","doi":"https://doi.org/10.2139/ssrn.508922","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.508922","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.139.1618","doi":null,"is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.139.1618","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://www.damianobrigo.it/cdsmm.pdf","raw_type":"text"}],"best_oa_location":{"id":"doi:10.2139/ssrn.508922","doi":"https://doi.org/10.2139/ssrn.508922","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.508922","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":16,"referenced_works":["https://openalex.org/W130822060","https://openalex.org/W181708398","https://openalex.org/W1533819021","https://openalex.org/W1575658391","https://openalex.org/W1586645362","https://openalex.org/W1993924242","https://openalex.org/W1995684172","https://openalex.org/W2001153827","https://openalex.org/W2088415914","https://openalex.org/W2101542744","https://openalex.org/W2109046559","https://openalex.org/W2110652040","https://openalex.org/W2135317796","https://openalex.org/W2471347482","https://openalex.org/W2497898025","https://openalex.org/W2804167612"],"related_works":["https://openalex.org/W4238656965","https://openalex.org/W1947208390","https://openalex.org/W2095196343","https://openalex.org/W7099026129","https://openalex.org/W1586645362","https://openalex.org/W2122484682","https://openalex.org/W2089383701","https://openalex.org/W4248870953","https://openalex.org/W1534686286","https://openalex.org/W2972664860"],"abstract_inverted_index":null,"counts_by_year":[{"year":2017,"cited_by_count":1},{"year":2014,"cited_by_count":1},{"year":2013,"cited_by_count":1}],"updated_date":"2026-11-04T10:54:05.112534","created_date":"2016-06-24T00:00:00"}