Default barrier intensity model for credit risk evaluation (Q464482): Difference between revisions

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+https://doi.org/10.1016/j.spl.2014.08.008
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+W2010889536
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@@ Property / cites work @@
+The double-barrier inverse first-passage problem for Wiener process with random starting point
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+Q3550879
@@ Property / cites work: Q3550879 / rank @@
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+Martingale representation theorems for initially enlarged filtrations.
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+Enlargement of Filtrations and Continuous Girsanov-Type Embeddings
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+Q3680007
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+Q3158097
@@ Property / cites work: Q3158097 / rank @@
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+Hedging of Credit Derivatives in Models with Totally Unexpected Default
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+Hazard rate for credit risk and hedging defaultable contingent claims
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+Changes of filtrations and of probability measures
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+Martingale approximation of eigenvalues for common factor representation
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+Recursive valuation of defaultable securities and the timing of resolution of uncertainty
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+What happens after a default: the conditional density approach
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+Conditional Default Probability and Density
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+Constructing Random Times with Given Survival Processes and Applications to Valuation of Credit Derivatives
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+Q2782358
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+Optimal investment under multiple defaults risk: a BSDE-decomposition approach
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+Optimal investment with counterparty risk: a default-density model approach
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+On Cox processes and credit risky securities
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+Q4435813
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