Counterparty risk valuation on credit-linked notes under a Markov chain framework (Q2036124): Difference between revisions

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+Study of Dependence for Some Stochastic Processes
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+Credit risk: Modelling, valuation and hedging
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+Two singular diffusion problems
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+Explicit formulas for pricing credit-linked notes with counterparty risk under reduced-form framework
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+EFFECT OF ASSET VALUE CORRELATION ON CREDIT-LINKED NOTE VALUES
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+Q3530675
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+A parabolic variational inequality arising from the valuation of fixed rate mortgages
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+A modified structural model for credit risk
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+Pricing the risks of default
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+INTENSITY-BASED MODELS FOR PRICING MORTGAGE-BACKED SECURITIES WITH REPAYMENT RISK UNDER A CIR PROCESS
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