Default risk and hazard process.
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The authors furnish a relatively concise and self-contained exposition of the most relevant results related to the analysis of random times and their filtrations from the viewpoint of financial modelling. They present some recent developments and indicate the directions for a further research. For the entire collection see [Zbl 0978.00046].
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(16)- Implications of implicit credit spread volatilities on interest rate modelling
- Random distribution kernels and three types of defaultable contingent payoffs
- Optimal investment and risk control problems with delay for an insurer in defaultable market
- The use of BSDEs to characterize the mean-variance hedging problem and the variance optimal martingale measure for defaultable claims
- Optimal reinsurance and investment problem for an insurer with counterparty risk
- Pricing and trading credit default swaps in a hazard process model
- On models of default risk.
- A filtering model on default risk
- On valuation with stochastic proportional hazard models in finance
- Modelling default risk using a stochastic process approach.
- Local risk-minimization for defaultable claims with recovery process
- Default barrier intensity model for credit risk evaluation
- CDS calibration under an extended JDCEV model
- A BSDE with delayed generator approach to pricing under counterparty risk and collateralization
- Modelling the evolution of credit spreads using the Cox process within the HJM framework: a CDS option pricing model
- Mean reflected BSDE driven by a marked point process and application in insurance risk management
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