Ioannis Kechagioglou

Imperial College Business School

PhD student

South Kensington Campus

Exhibition Road

London SW7 2AZ, SW7 2AZ

United Kingdom

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Scholarly Papers (1)

1.

Credit/Interest Rate Hybrid Models of the Short Rate for Pricing Counterparty Risk Adjustment

22nd Australasian Finance and Banking Conference 2009
Number of pages: 41 Posted: 24 Aug 2009 Last Revised: 03 Feb 2010
Ioannis Kechagioglou
Imperial College Business School
Downloads 469 (59,617)

Abstract:

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Counterparty risk, short-rate models