Two frameworks for pricing defaultable derivatives (Q2213633): Difference between revisions

@@ Property / author @@
-Ognyan Kounchev
@@ Property / author: Ognyan Kounchev / rank @@
-Normal rank
@@ Property / author @@
-Mladen Svetoslavov Savov
@@ Property / author: Mladen Svetoslavov Savov / rank @@
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@@ Property / author @@
+Ognyan Kounchev
@@ Property / author: Ognyan Kounchev / rank @@
+Normal rank
@@ Property / author @@
+Mladen Svetoslavov Savov
@@ Property / author: Mladen Svetoslavov Savov / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.chaos.2019.04.025
+Normal rank
@@ Property / OpenAlex ID @@
+W2940049593
@@ Property / OpenAlex ID: W2940049593 / rank @@
+Normal rank
@@ Property / cites work @@
+Enlargement of Filtration with Finance in View
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+Lévy Processes and Stochastic Calculus
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+Bond Market Structure in the Presence of Marked Point Processes
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+The Pricing of Options and Corporate Liabilities
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+Point processes and queues. Martingale dynamics
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+Pricing vulnerable claims in a Lévy-driven model
@@ Property / cites work: Pricing vulnerable claims in a Lévy-driven model / rank @@
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+Financial Modelling with Jump Processes
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+Default risk and derivative products
@@ Property / cites work: Default risk and derivative products / rank @@
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@@ Property / cites work @@
+Q4781779
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+Affine processes and applications in finance
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+DEFAULTABLE CLAIMS IN SWITCHING MODELS WITH PARTIAL INFORMATION
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+Doubly stochastic Poisson processes
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+Q4229047
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+Pricing and hedging vulnerable option with funding costs and collateral
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+VALUATION OF VULNERABLE OPTIONS UNDER THE DOUBLE EXPONENTIAL JUMP MODEL WITH STOCHASTIC VOLATILITY
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+Q3774629
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+Catastrophe options with stochastic interest rates and compound Poisson losses
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+Valuing vulnerable geometric Asian options
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+Pricing vulnerable path-dependent options using integral transforms
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+The pricing of dynamic fund protection with default risk
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+On a problem of Girsanov
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+Closed-form pricing formula for exchange option with credit risk
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+Q5286671
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+Explicit formula for the valuation of catastrophe put option with exponential jump and default risk
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+First passage times of a jump diffusion process
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+On Cox processes and credit risky securities
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+Pricing of defaultable options with multiscale generalized Heston's stochastic volatility
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+A closed form solution for vulnerable options with Heston's stochastic volatility
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+Random times and enlargements of filtrations in a Brownian setting.
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+Option pricing when underlying stock returns are discontinuous
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+Q4000386
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+Pricing vulnerable options with stochastic volatility
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+Random distribution kernels and three types of defaultable contingent payoffs
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+The pricing of vulnerable options with double Mellin transforms
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+Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security
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@@ links / mardi / name / links / mardi / name @@
+Publication:2213633