Pricing derivative credit risk

zbMATH Open0971.91026MaRDI QIDQ1294780FDOQ1294780

Manuel Ammann

Publication date: 12 August 1999

Published in: Lecture Notes in Economics and Mathematical Systems (Search for Journal in Brave)

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zbMATH Keywords

credit riskdefault riskcredit derivativespricing models

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Credit risk (91G40)

Cited In (8)

• Title not available (Why is that?)
• Title not available (Why is that?)
• FIRST-TO-DEFAULT AND SECOND-TO-DEFAULT OPTIONS IN MODELS WITH VARIOUS INFORMATION FLOWS
• Title not available (Why is that?)
• Pricing the risks of default
• The martingale approach for credit-risky option pricing
• From insurance risk to credit portfolio management: a new approach to pricing CDOs
• Proxying credit curves via Wasserstein distances

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