INFORMATION ASYMMETRY IN PRICING OF CREDIT DERIVATIVES (Q3094325): Difference between revisions

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+.3256
@@ Property / arXiv ID: 1002.3256 / rank @@
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+Martingale representation theorems for initially enlarged filtrations.
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+Credit risk: Modelling, valuation and hedging
@@ Property / cites work: Credit risk: Modelling, valuation and hedging / rank @@
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+Pricing and trading credit default swaps in a hazard process model
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+A jump to default extended CEV model: an application of Bessel processes
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+Additional utility of insiders with imperfect dynamical information
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+Term Structures of Credit Spreads with Incomplete Accounting Information
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+On Models of Default Risk
@@ Property / cites work: On Models of Default Risk / rank @@
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+Insider Trading in a Continuous Time Market Model
@@ Property / cites work: Insider Trading in a Continuous Time Market Model / rank @@
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+Intensity process and compensator: A new filtration expansion approach and the Jeulin-Yor theorem
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+Comparison of insiders' optimal strategies depending on the type of side-information
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+Calcul stochastique et problèmes de martingales
@@ Property / cites work: Calcul stochastique et problèmes de martingales / rank @@
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+PARTIAL INFORMATION AND HAZARD PROCESS
@@ Property / cites work: PARTIAL INFORMATION AND HAZARD PROCESS / rank @@
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