Credit derivatives in an affine framework (Q2471738): Difference between revisions

@@ Property / describes a project that uses @@
+QRM
@@ Property / describes a project that uses: QRM / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1007/s10690-007-9055-8
+Normal rank
@@ Property / OpenAlex ID @@
+W2127099805
@@ Property / OpenAlex ID: W2127099805 / rank @@
+Normal rank
@@ Property / cites work @@
+DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS
@@ Property / cites work: DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS / rank @@
+Normal rank
@@ Property / cites work @@
+Credit risk: Modelling, valuation and hedging
@@ Property / cites work: Credit risk: Modelling, valuation and hedging / rank @@
+Normal rank
@@ Property / cites work @@
+Q5574850
@@ Property / cites work: Q5574850 / rank @@
+Normal rank
@@ Property / cites work @@
+A simple model for credit migration and spread curves
+Normal rank
@@ Property / cites work @@
+Equivalent and absolutely continuous measure changes for jump-diffusion processes
+Normal rank
@@ Property / cites work @@
+Q4682145
@@ Property / cites work: Q4682145 / rank @@
+Normal rank
@@ Property / cites work @@
+Affine processes and applications in finance
@@ Property / cites work: Affine processes and applications in finance / rank @@
+Normal rank
@@ Property / cites work @@
+Transform Analysis and Asset Pricing for Affine Jump-diffusions
+Normal rank
@@ Property / cites work @@
+On Cox processes and credit risky securities
@@ Property / cites work: On Cox processes and credit risky securities / rank @@
+Normal rank
@@ Property / cites work @@
+Q5706744
@@ Property / cites work: Q5706744 / rank @@
+Normal rank
@@ Property / cites work @@
+PRICING COUPON-BOND OPTIONS AND SWAPTIONS IN AFFINE TERM STRUCTURE MODELS
+Normal rank