Replication of Contingent Claims in a Reduced-Form Credit Risk Model with Discontinuous Asset Prices (Q3424144): Difference between revisions
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| Property / cites work: A GENERAL FRAMEWORK FOR PRICING CREDIT RISK / rank | |||
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| Property / cites work: PDE approach to valuation and hedging of credit derivatives / rank | |||
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| Property / cites work: Hazard rate for credit risk and hedging defaultable contingent claims / rank | |||
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| Property / cites work: A General Formula for Valuing Defaultable Securities / rank | |||
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| Property / cites work: Q4368791 / rank | |||
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| Property / cites work: A partial introduction to financial asset pricing theory. / rank | |||
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Latest revision as of 13:46, 25 June 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Replication of Contingent Claims in a Reduced-Form Credit Risk Model with Discontinuous Asset Prices |
scientific article |
Statements
Replication of Contingent Claims in a Reduced-Form Credit Risk Model with Discontinuous Asset Prices (English)
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15 February 2007
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credit risk
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defaultable claims
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default intensity
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replication
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semimartingales
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