On Cox processes and credit risky securities
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Publication:375362
DOI10.1007/BF01531332zbMATH Open1274.91459WikidataQ56567893 ScholiaQ56567893MaRDI QIDQ375362FDOQ375362
Authors: David Lando 
Publication date: 30 October 2013
Published in: Review of Derivatives Research (Search for Journal in Brave)
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Cites Work
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- Doubly stochastic Poisson processes
- Pricing the risks of default
- DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS
- Recursive valuation of defaultable securities and the timing of resolution of uncertainty
- Default risk and derivative products
Cited In (only showing first 100 items - show all)
- On the term structure of lending interest rates when a fraction of collateral is recovered upon default
- Different Shades of Risk: Mortality Trends Implied by Term Insurance Prices
- 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
- On time-inconsistent stopping problems and mixed strategy stopping times
- Fuzzy semi-Markov migration process in credit risk
- Restructuring risk in credit default swaps: an empirical analysis
- Random distribution kernels and three types of defaultable contingent payoffs
- Pricing of defaultable securities associated with recovery rate under the stochastic interest rate driven by fractional Brownian motion
- The pricing of credit risky securities under stochastic interest rate model with default correlation.
- A generalized intensity-based framework for single-name credit risk
- Credit default swap pricing with counterparty risk in a reduced form model with a common jump process
- Asymptotic analysis for one-name credit derivatives
- Event risk, contingent claims and the temporal resolution of uncertainty
- Analytical valuation of vulnerable options in a discrete-time framework
- Analytical pricing of vulnerable options under a generalized jump-diffusion model
- Analytical valuation of vulnerable European and Asian options in intensity-based models
- L0-Regularized Learning for High-Dimensional Additive Hazards Regression
- Linear credit risk models
- Kalman-Bucy Filtering for Linear Systems Driven by the Cox Process with Shot Noise Intensity and Its Application to the Pricing of Reinsurance Contracts
- An analytical approximation formula for the pricing of credit default swaps with regime switching
- Corporate security prices in structural credit risk models with incomplete information
- Regime switching affine processes with applications to finance
- Utility indifference valuation of corporate bond with rating migration risk
- CVA and vulnerable options pricing by correlation expansions
- Evaluation of counterparty risk for derivatives with early-exercise features
- AN INFINITE FACTOR MODEL FOR CREDIT RISK
- Recovering default risk from CDS spreads with a nonlinear filter
- A Monte-Carlo based approach for pricing credit default swaps with regime switching
- Credit portfolio selection with decaying contagion intensities
- Weak convergence of equity derivatives pricing with default risk
- Contagion in an interacting economy
- Two frameworks for pricing defaultable derivatives
- Pricing and hedging vulnerable option with funding costs and collateral
- Valuation of credit derivatives with multiple time scales in the intensity model
- Pricing derivatives using the asymptotic expansion approach: credit migration models with stochastic credit spreads
- Explicit formula for the valuation of catastrophe put option with exponential jump and default risk
- A hidden absorbing semi-Markov model for informatively censored temporal data: learning and inference
- Asymptotic behaviour of the survival probabilities in an inhomogeneous semi-Markov model for the migration process in credit risk
- A reduced-form intensity-based model under fuzzy environments
- Longevity risk management and shareholder value for a life annuity business
- Kolmogorov's forward PIDE and forward transition rates in life insurance
- A revised version of the Cathcart \& El-Jahel model and its application to CDS market
- Credit risky securities valuation under a contagion model with interacting intensities
- Homotopy analysis method and its applications in the valuation of European call options with time-fractional Black-Scholes equation
- An inhomogeneous semi-Markov model for the term structure of credit risk spreads
- WRONG-WAY RISK CVA MODELS WITH ANALYTICAL EPE PROFILES UNDER GAUSSIAN EXPOSURE DYNAMICS
- Does modeling framework matter? A comparative study of structural and reduced-form models
- Estimating doubly stochastic Poisson process with affine intensities by Kalman filter
- Log-Gaussian Cox processes in infinite-dimensional spaces
- CVA in fractional and rough volatility models
- Interacting default intensity with a hidden Markov process
- Asset allocation with contagion and explicit bankruptcy procedures
- An Empirical Investigation of CDS Spreads Using a Regime-Switching Default Risk Model
- Hazard processes and martingale hazard processes
- Multiple ratings model of defaultable term structure.
- Stochastic intensity modeling for structured credit exotics
- A set-valued Markov chain approach to credit default
- Pricing CDO tranches in an intensity based model with the mean reversion approach
- 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
- A micro-level claim count model with overdispersion and reporting delays
- DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS
- 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
- Recovering portfolio default intensities implied by CDO quotes
- Affine processes for dynamic mortality and actuarial valuations
- Affine stochastic mortality
- Pricing credit default swaps with bilateral counterparty risk in a reduced form model with Markov regime switching
- Pricing bonds and CDS in the model with rating migration induced by a Cox process
- Delta-gamma hedging of mortality and interest rate risk
- Default and information
- Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling
- Consistent dynamic affine mortality models for longevity risk applications
- Asymptotic traveling wave solution for a credit rating migration problem
- Pricing default events: surprise, exogeneity and contagion
- Modelling stochastic mortality for dependent lives
- How to invest optimally in corporate bonds: a reduced-form approach
- Affine processes and applications in finance
- Cure events in default prediction
- An intensity-based approach for equity modeling
- What happens after a default: the conditional density approach
- Closed-form solutions for guaranteed minimum accumulation and death benefits
- On absolutely continuous compensators and nonlinear filtering equations in default risk models
- A Markov modulated dynamic contagion process with application to credit risk
- Default barrier intensity model for credit risk evaluation
- Computing survival probabilities based on stochastic differential models
- A dynamic contagion process
- Singular risk-neutral valuation equations
- Discrete credit barrier models
- On the robustness of longevity risk pricing
- On a reduced form credit risk model with common shock and regime switching
- Classical solutions to reaction-diffusion systems for hedging problems with interacting Itô and point processes
- Mathematical analysis of a credit default swap with counterparty risks
- Background filtrations and canonical loss processes for top-down models of portfolio credit risk
- Credit contagion and aggregate losses
- A model for dependent default with hyperbolic attenuation effect and valuation of credit default swap
- On the stochastic behaviour of optional processes up to random times
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