Default risk and derivative products (Q4541531)

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scientific article; zbMATH DE number 1771932

Language	Label	Description	Also known as
English	Default risk and derivative products	scientific article; zbMATH DE number 1771932

Statements

scholarly article

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Default risk and derivative products (English)

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zbMATH Open document ID

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10.1080/13504869600000003

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Applied Mathematical Finance

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publication date

1996

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Mathematics Subject Classification ID

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zbMATH DE Number

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/13504869600000003

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DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS

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The Pricing of Options and Corporate Liabilities

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A new integral equation for the evaluation of first-passage-time probability densities

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A Theory of the Term Structure of Interest Rates

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Option pricing: A simplified approach

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Recursive valuation of defaultable securities and the timing of resolution of uncertainty

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Martingales and arbitrage in multiperiod securities markets

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Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation

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Hedging quantos, differential swaps and ratios

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Pricing the risks of default

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An equilibrium characterization of the term structure

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Sitelinks

Mathematics(1 entry)

mardi Publication:4541531

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