Up and down credit risk

DOI10.1080/14697680903382776zbMath1201.91212OpenAlexW2061979654MaRDI QIDQ3064015

Stéphane Crépey, Tomasz R. Bielecki, Monique Jeanblanc-Picqué

Publication date: 20 December 2010

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680903382776

zbMATH Keywords

credit riskmodel calibrationfinancial mathematicscomputational finance

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Credit risk (91G40)

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Cites Work

• Calcul stochastique et problèmes de martingales
• The multiplicity of an increasing family of \(\sigma\)-fields
• Changes of filtrations and of probability measures
• PRICING AND HEDGING IN A DYNAMIC CREDIT MODEL
• Unnamed Item