DYNAMIC DEFAULTABLE TERM STRUCTURE MODELING BEYOND THE INTENSITY PARADIGM (Q4635039): Difference between revisions

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-.1111/mafi.12138
@@ Property / DOI: 10.1111/mafi.12138 / rank @@
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+Q3015741
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+Term-structure models. A graduate course
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+A Structural Model with Unobserved Default Boundary
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+DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS
@@ Property / cites work: DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS / rank @@
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+Shot-noise driven multivariate default models
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+Random times and multiplicative systems
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+No Arbitrage Theory for Bond Markets
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+Generalized density approach in progressive enlargement of filtrations
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+An explicit model of default time with given survival probability
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+Mathematical methods for financial markets.
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+Multivariate point processes: predictable projection, Radon-Nikodym derivatives, representation of martingales
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+Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
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+PRICING CORPORATE SECURITIES UNDER NOISY ASSET INFORMATION
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+Pricing credit derivatives under incomplete information: a nonlinear-filtering approach
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+DYNAMIC CDO TERM STRUCTURE MODELING
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+Time-inhomogeneous affine processes
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+Affine Point Processes and Portfolio Credit Risk
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+The Defaultable Lévy Term Structure: Ratings and Restructuring
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+Recursive valuation of defaultable securities and the timing of resolution of uncertainty
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+Term Structures of Credit Spreads with Incomplete Accounting Information
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+Affine processes and applications in finance
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+The existence of absolutely continuous local martingale measures
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+A General Formula for Valuing Defaultable Securities
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+QUADRATIC TERM STRUCTURE MODELS FOR RISK‐FREE AND DEFAULTABLE RATES
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+Changes of filtrations and of probability measures
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+A GENERAL FRAMEWORK FOR PRICING CREDIT RISK
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+Credit risk modeling with affine processes
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+Random times with given survival probability and their \(\mathbb F\)-martingale decomposition formula
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+.1111/MAFI.12138
@@ Property / DOI: 10.1111/MAFI.12138 / rank @@
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