MODELING SOVEREIGN RISKS: FROM A HYBRID MODEL TO THE GENERALIZED DENSITY APPROACH (Q4635040): Difference between revisions

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+DYNAMIC DEFAULTABLE TERM STRUCTURE MODELING BEYOND THE INTENSITY PARADIGM
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+Pricing equity default swaps under the jump-to-default extended CEV model
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+TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELING
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+PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY
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+Lookback options and diffusion hitting times: a spectral expansion approach
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+On Models of Default Risk
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+Normal rank
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+What happens after a default: the conditional density approach
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+A note on option pricing for the constant elasticity of variance model
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+Pricing and Hedging Path-Dependent Options Under the CEV Process
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+Some probabilistic properties of Bessel functions
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+Default times, no-arbitrage conditions and changes of probability measures
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+Diffusion Coefficient Estimation and Asset Pricing When Risk Premia and Sensitivities Are Time Varying<sup>1</sup>
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+A simple model for credit migration and spread curves
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+A jump to default extended CEV model: an application of Bessel processes
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+Systematic equity-based credit risk: A CEV model with jump to default
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+A GENERAL FRAMEWORK FOR PRICING CREDIT RISK
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+Study of a filtration expanded to include an honest time
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+Optimal stochastic control, stochastic target problems, and backward SDE.
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+Generalized density approach in progressive enlargement of filtrations
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