Pages that link to "Item:Q2271610"

The following pages link to Systematic equity-based credit risk: A CEV model with jump to default (Q2271610):

Displaying 18 items.

• Pricing equity default swaps under the jump-to-default extended CEV model (Q483933) (← links)
• A jump to default extended CEV model: an application of Bessel processes (Q854279) (← links)
• General dynamic term structures under default risk (Q1615894) (← links)
• Optimal control of investment-reinsurance problem for an insurer with jump-diffusion risk process: independence of Brownian motions (Q1722323) (← links)
• Mean-variance portfolio selection under a constant elasticity of variance model (Q1785248) (← links)
• Pricing VXX option with default risk and positive volatility skew (Q1927010) (← links)
• The role of non-convex costs in firms' investment and financial dynamics (Q1994230) (← links)
• Information uncertainty related to marked random times and optimal investment (Q2296112) (← links)
• A unified approach to pricing and risk management of equity and credit risk (Q2349596) (← links)
• Probing option prices for information (Q2642481) (← links)
• A numerical method to price discrete double Barrier options under a constant elasticity of variance model with jump diffusion (Q2804029) (← links)
• Empirical analysis and calibration of the CEV process for pricing equity default swaps (Q2866396) (← links)
• Enhanced equity-credit modelling for contingent convertibles (Q4554224) (← links)
• Shapes of Implied Volatility with Positive Mass at Zero (Q4607048) (← links)
• MODELING SOVEREIGN RISKS: FROM A HYBRID MODEL TO THE GENERALIZED DENSITY APPROACH (Q4635040) (← links)
• Portfolio choices and VaR constraint with a defaultable asset (Q4683102) (← links)
• LOCAL RISK MINIMIZATION OF CONTINGENT CLAIMS SIMULTANEOUSLY EXPOSED TO ENDOGENOUS AND EXOGENOUS DEFAULT TIMES (Q5061487) (← links)
• Laplace transforms of stochastic integrals and the pricing of Bermudan swaptions (Q6067798) (← links)