Recommendations
- A remark on credit risk models and copula
- Credit risk modeling with affine processes
- Credit risk with infinite dimensional Lévy processes
- scientific article; zbMATH DE number 1775715
- scientific article; zbMATH DE number 5619427
- Expectations of functions of stochastic time with application to credit risk modeling
- scientific article; zbMATH DE number 2174797
- Applications of copula theory in credit risk
- scientific article; zbMATH DE number 5733965
- Bivariate semi-Markov process for counterparty credit risk
Cites work
- scientific article; zbMATH DE number 192908 (Why is no real title available?)
- scientific article; zbMATH DE number 1869272 (Why is no real title available?)
- A survey of product-integration with a view toward application in survival analysis
- DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS
- Default risk and derivative products
- Doubly stochastic Poisson processes
- Pricing the risks of default
- Probability with Martingales
- Recursive valuation of defaultable securities and the timing of resolution of uncertainty
- The pricing of options and corporate liabilities
Cited in
(only showing first 100 items - show all)- Number of paths versus number of basis functions in American option pricing
- REINFORCED URN PROCESSES FOR MODELING CREDIT DEFAULT DISTRIBUTIONS
- Characteristics and constructions of default times
- On the term structure of lending interest rates when a fraction of collateral is recovered upon default
- Hazard processes and martingale hazard processes
- DIVIDENDS AND COMPOUND POISSON PROCESSES: A NEW STOCHASTIC STOCK PRICE MODEL
- Different Shades of Risk: Mortality Trends Implied by Term Insurance Prices
- Valuation of residential mortgage-backed securities with default risk using an intensity-based approach
- Total return swap valuation with counterparty risk and interest rate risk
- The dynamic spread of the forward CDS with general random loss
- A new default probability calculation formula and its application under uncertain environments
- Valuation of the vulnerable option price based on mixed fractional Brownian motion
- Multiple ratings model of defaultable term structure.
- On the probability of default in a market with price clustering and jump risk
- Pricing CDO tranches in an intensity based model with the mean reversion approach
- Stochastic intensity modeling for structured credit exotics
- Modelling the evolution of credit spreads using the Cox process within the HJM framework: a CDS option pricing model
- Closed-form solutions for pricing credit-risky bonds and bond options
- Pricing European options on deferred annuities
- A set-valued Markov chain approach to credit default
- On time-inconsistent stopping problems and mixed strategy stopping times
- A micro-level claim count model with overdispersion and reporting delays
- A Markov copula model with regime switching and its application
- Finite difference methods for pricing American put option with rationality parameter: numerical analysis and computing
- A market-consistent framework for the fair evaluation of insurance contracts under Solvency II
- Dynamic portfolio strategies under a fully correlated jump-diffusion process
- Some extensions of Norros' lemma in models with several defaults
- Affine processes for dynamic mortality and actuarial valuations
- DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS
- Fuzzy semi-Markov migration process in credit risk
- Restructuring risk in credit default swaps: an empirical analysis
- Hedging Under Worst-Case-Scenario in a Market Driven by Time-Changed Lévy Noises
- Random distribution kernels and three types of defaultable contingent payoffs
- Affine stochastic mortality
- Pricing of defaultable securities associated with recovery rate under the stochastic interest rate driven by fractional Brownian motion
- Pricing credit default swaps with bilateral counterparty risk in a reduced form model with Markov regime switching
- Recovering portfolio default intensities implied by CDO quotes
- Delta-gamma hedging of mortality and interest rate risk
- Default and information
- A stochastic hybrid framework for obtaining statistics of many random walkers in a switching environment
- Evaluation of counterparty credit risk under netting agreements
- Extending the intensity model with joint defaults to incorporate the lasting effects from common credit events
- Market implied volatilities for defaultable bonds
- Pricing bonds and CDS in the model with rating migration induced by a Cox process
- Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling
- The pricing of credit risky securities under stochastic interest rate model with default correlation.
- Credit risk pricing in a consumption‐based equilibrium framework with incomplete accounting information
- Asymptotic traveling wave solution for a credit rating migration problem
- Consistent dynamic affine mortality models for longevity risk applications
- Pricing default events: surprise, exogeneity and contagion
- Modelling stochastic mortality for dependent lives
- Doubly stochastic Poisson model of flagellar length control
- Basket credit default swap pricing with two defaultable counterparties
- A generalized intensity-based framework for single-name credit risk
- Equity-linked annuity valuation under fractional jump-diffusion financial and mortality models
- How to invest optimally in corporate bonds: a reduced-form approach
- Affine processes and applications in finance
- The Laplace transform of the integrated Volterra Wishart process
- Asymptotic analysis for one-name credit derivatives
- Free boundary problem pricing defaultable corporate bonds with multiple credit rating migration risk and stochastic interest rate
- Credit default swap pricing with counterparty risk in a reduced form model with a common jump process
- Pricing airbag option via first passage time approach
- Fair pricing of credit default swaps in an intensity-based model driven by subordinator processes
- Usual and stochastic tail orders between hitting times for two Markov chains
- Some short elements on hedging credit derivatives
- Event risk, contingent claims and the temporal resolution of uncertainty
- Free boundaries of credit rating migration in switching macro regions
- Cure events in default prediction
- Generalized Cox model for default times
- Analytical valuation of vulnerable options in a discrete-time framework
- A contagion process with self-exciting jumps in credit risk applications
- An intensity-based approach for equity modeling
- A free boundary problem for defaultable corporate bond with credit rating migration risk and its asymptotic behavior
- Credit derivatives in an affine framework
- Analytical valuation of vulnerable European and Asian options in intensity-based models
- Analytical pricing of vulnerable options under a generalized jump-diffusion model
- Closed-form formulas for the distribution of the jumps of doubly-stochastic Poisson processes
- What happens after a default: the conditional density approach
- Closed-form solutions for guaranteed minimum accumulation and death benefits
- Pricing credit-risky bonds and spread options modelling credit-spread term structures with two-dimensional Markov-modulated jump-diffusion
- Simplified approach to valuation of vulnerable exchange option under a reduced-form model
- L0-Regularized Learning for High-Dimensional Additive Hazards Regression
- Wrong way risk corrections to CVA in CIR reduced-form models
- Asymptotic expansion for term structures of defaultable bonds with non-Gaussian dependent innovations
- On absolutely continuous compensators and nonlinear filtering equations in default risk models
- Credit default swap pricing with counterparty risk in a reduced form model with Hawkes process
- CVA and vulnerable options in stochastic volatility models
- Linear credit risk models
- Some Remarks on Enlargement of Filtration and Finance
- A Markov modulated dynamic contagion process with application to credit risk
- FIRST-TO-DEFAULT AND SECOND-TO-DEFAULT OPTIONS IN MODELS WITH VARIOUS INFORMATION FLOWS
- DEFAULTABLE TERM STRUCTURES DRIVEN BY SEMIMARTINGALES
- Kalman-Bucy Filtering for Linear Systems Driven by the Cox Process with Shot Noise Intensity and Its Application to the Pricing of Reinsurance Contracts
- Default barrier intensity model for credit risk evaluation
- Computing survival probabilities based on stochastic differential models
- An analytical approximation formula for the pricing of credit default swaps with regime switching
- Utility indifference valuation of corporate bond with rating migration risk
- Regime switching affine processes with applications to finance
- Pricing catastrophe risk during transitions of physical and economic environments
- On double-boundary non-crossing probability for a class of compound processes with applications
This page was built for publication: On Cox processes and credit risky securities
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q375362)
