NO-ARMAGEDDON MEASURE FOR ARBITRAGE-FREE PRICING OF INDEX OPTIONS IN A CREDIT CRISIS (Q3100747): Difference between revisions

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+https://doi.org/10.1111/j.1467-9965.2010.00444.x
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+W1517908176
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+VALUATION OF CREDIT DEFAULT SWAPTIONS AND CREDIT DEFAULT INDEX SWAPTIONS
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+The Market Model of Interest Rate Dynamics
@@ Property / cites work: The Market Model of Interest Rate Dynamics / rank @@
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+A general version of the fundamental theorem of asset pricing
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+LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK
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+Valuation of credit default swaps and swaptions
@@ Property / cites work: Valuation of credit default swaps and swaptions / rank @@
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+On Cox processes and credit risky securities
@@ Property / cites work: On Cox processes and credit risky securities / rank @@
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+CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
@@ Property / cites work: CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS / rank @@
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