The following pages link to On Models of Default Risk (Q2707142):
Displaying 50 items.
- Generalization on optimal multiple stopping with application to swing options with random exercise rights number (Q256313) (← links)
- A reading guide for last passage times with financial applications in view (Q354200) (← links)
- A tractable LIBOR model with default risk (Q356479) (← links)
- Random times and multiplicative systems (Q424521) (← links)
- On absolutely continuous compensators and nonlinear filtering equations in default risk models (Q454855) (← links)
- Hedging of a credit default swaption in the CIR default intensity model (Q483934) (← links)
- A BSDE with delayed generator approach to pricing under counterparty risk and collateralization (Q507677) (← links)
- Credit risky securities valuation under a contagion model with interacting intensities (Q642743) (← links)
- Pricing credit derivatives under incomplete information: a nonlinear-filtering approach (Q650766) (← links)
- Time reversal and last passage time of diffusions with applications to credit risk management (Q784742) (← links)
- Alternative defaultable term structure models (Q841849) (← links)
- A jump to default extended CEV model: an application of Bessel processes (Q854279) (← links)
- Non-stopping times and stopping theorems (Q875907) (← links)
- Single jump processes and strict local martingales (Q901294) (← links)
- Valuation of default-sensitive claims under imperfect information (Q928501) (← links)
- Dynamic asset pricing theory with uncertain time-horizon (Q956467) (← links)
- What happens after a default: the conditional density approach (Q981009) (← links)
- General dynamic term structures under default risk (Q1615894) (← links)
- On the excursions of drifted Brownian motion and the successive passage times of Brownian motion (Q1619591) (← links)
- Dynamics of multivariate default system in random environment (Q1679470) (← links)
- Total return swap valuation with counterparty risk and interest rate risk (Q1724070) (← links)
- Explicit pricing formulas for European option with asset exposed to double defaults risk (Q1727278) (← links)
- Funding, repo and credit inclusive valuation as modified option pricing (Q1728382) (← links)
- Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices (Q1739058) (← links)
- Default times, no-arbitrage conditions and changes of probability measures (Q1761456) (← links)
- Free lunch and arbitrage possibilities in a financial market model with an insider. (Q1879525) (← links)
- Asymptotic behaviour of the survival probabilities in an inhomogeneous semi-Markov model for the migration process in credit risk (Q1940089) (← links)
- The pricing of total return swap under default contagion models with jump-diffusion interest rate risk (Q1985946) (← links)
- On correlated defaults and incomplete information (Q2031381) (← links)
- Thin times and random times' decomposition (Q2042766) (← links)
- Projections of martingales in enlargements of Brownian filtrations under Jacod's equivalence hypothesis (Q2076599) (← links)
- Lifetime ruin under high-water mark fees and drift uncertainty (Q2234305) (← links)
- Progressive enlargement of filtrations with initial times (Q2270882) (← links)
- Background filtrations and canonical loss processes for top-down models of portfolio credit risk (Q2271727) (← links)
- Linear credit risk models (Q2282965) (← links)
- Information uncertainty related to marked random times and optimal investment (Q2296112) (← links)
- Credit risk and solvency capital requirements (Q2323660) (← links)
- Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation (Q2339124) (← links)
- On the stochastic behaviour of optional processes up to random times (Q2341620) (← links)
- Demand for longevity securities under relative performance concerns: stochastic differential games with cointegration (Q2374128) (← links)
- Pricing and trading credit default swaps in a hazard process model (Q2378639) (← links)
- Unit-linked life insurance policies: optimal hedging in partially observable market models (Q2404551) (← links)
- Integral representations of martingales for progressive enlargements of filtrations (Q2419970) (← links)
- Enlargements of filtrations and path decompositions at non stopping times (Q2431746) (← links)
- On the characterisation of honest times that avoid all stopping times (Q2434485) (← links)
- Fuzzy semi-Markov migration process in credit risk (Q2445431) (← links)
- Intensity process and compensator: A new filtration expansion approach and the Jeulin-Yor theorem (Q2476401) (← links)
- Affine stochastic mortality (Q2507942) (← links)
- Progressive enlargements of filtrations with pseudo-honest times (Q2511557) (← links)
- Asset allocation strategies in the presence of liability constraints (Q2520460) (← links)
