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- Pricing the risks of default
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- PRICING DEFAULTABLE DEBT: SOME EXACT RESULTS
- Default Risk, Asset Pricing, and Debt Control
- Default risk in bond and credit derivatives markets.
- scientific article; zbMATH DE number 7088119
Cites work
- scientific article; zbMATH DE number 4034749 (Why is no real title available?)
- scientific article; zbMATH DE number 3793150 (Why is no real title available?)
- scientific article; zbMATH DE number 44587 (Why is no real title available?)
- scientific article; zbMATH DE number 45973 (Why is no real title available?)
- scientific article; zbMATH DE number 3278887 (Why is no real title available?)
- A theory of the term structure of interest rates
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS
- Pricing the risks of default
- Recursive valuation of defaultable securities and the timing of resolution of uncertainty
- The pricing of options and corporate liabilities
Cited in
(78)- Explicit pricing formulas for vulnerable path-dependent options with early counterparty credit risk
- The European vulnerable option pricing with jumps based on a mixed model
- Default-risky bond prices with jumps, liquidity risk and incomplete information
- Credit default swap spreads modeling and forecasting with a stochastic square-root three-factor model
- Liquidity spreads in the corporate bondmarket: estimation using a semi-parametric model
- Extending the intensity model with joint defaults to incorporate the lasting effects from common credit events
- Pricing credit default swaps with Parisian and Parasian default mechanics
- Computing credit valuation adjustment for Bermudan options with wrong way risk
- DEFAULTABLE TERM STRUCTURES DRIVEN BY SEMIMARTINGALES
- Stochastic volatility asymptotics of defaultable interest rate derivatives under a quadratic Gaussian model
- The dependence of assets and default threshold with thinning-dependence structure
- An empirical analysis of alternative recovery risk models and implied recovery rates
- The pricing of defaultable bonds under a regime-switching jump-diffusion model with stochastic default barrier
- Calculation of exposure profiles and sensitivities of options under the Heston and the Heston Hull-White models
- Factor copula model for portfolio credit risk
- A LÉVY-DRIVEN ORNSTEIN–UHLENBECK PROCESS FOR THE VALUATION OF CREDIT INDEX SWAPTIONS
- Credit risky securities valuation under a contagion model with interacting intensities
- Recursive valuation of defaultable securities and the timing of resolution of uncertainty
- Distressed debt prices and recovery rate estimation
- Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model
- A Monte-Carlo based approach for pricing credit default swaps with regime switching
- On the term structure of lending interest rates when a fraction of collateral is recovered upon default
- The optimal analysis of default probability for a credit risk model
- scientific article; zbMATH DE number 7088119 (Why is no real title available?)
- Pricing the risks of default
- An analytical approximation formula for the pricing of credit default swaps with regime switching
- The valuation of multi-counterparties CDS with credit rating migration
- Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model
- The optimal capital structure of the firm with stable Lévy assets returns
- Closed-form solutions for pricing credit-risky bonds and bond options
- Unifying discrete structural models and reduced-form models in credit risk using a jump-diffusion process.
- The pricing of total return swap under default contagion models with jump-diffusion interest rate risk
- A boundary crossing model of counterparty risk
- The pricing of credit risk derivatives
- The pricing of credit default swaps under a Markov-modulated Merton's structural model
- Total return swap valuation with counterparty risk and interest rate risk
- Valuation of the vulnerable option price based on mixed fractional Brownian motion
- Pricing corporate bonds with credit risk, liquidity risk, and their correlation
- Pricing vulnerable options with correlated jump-diffusion processes depending on various states of the economy
- A Markov regime-switching marked point process for short-rate analysis with credit risk
- CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK
- Default risk and derivative products
- Tempered stable structural model in pricing credit spread and credit default swap
- The valuation and behavior of Black-Scholes options subject to intertemporal default risk
- Default risk and derivative products
- Interacting default intensity with a hidden Markov process
- Jumps in intensity models: investigating the performance of Ornstein-Uhlenbeck processes in credit risk modeling
- Valuing risky debt: a new model combining structural information with the reduced-form approach
- Default Probabilities for Mortgages
- DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS
- Optimal investment in a defaultable bond
- Pricing of multiple defaultable bond
- An Empirical Investigation of CDS Spreads Using a Regime-Switching Default Risk Model
- The pricing of credit risky securities under stochastic interest rate model with default correlation.
- A jump to default extended CEV model: an application of Bessel processes
- Affine processes and applications in finance
- Pricing the risks of default
- On a convergent power series method to price defaultable bonds in a Vašíček-CIR model
- A closed-form pricing formula for vulnerable European options under stochastic yield spreads and interest rates
- Computing the survival probability in the Madan-Unal credit risk model: application to the CDS market
- Default Risk, Asset Pricing, and Debt Control
- DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS
- Implied recovery
- The pricing of credit default swaps under a generalized mixed fractional Brownian motion
- Credit risk propagation in structural-form models
- Pricing derivatives with counterparty risk and collateralization: a fixed point approach
- Partial differential equation pricing method for double-name credit-linked notes with counterparty risk in a reduced-form model with common shocks
- Number of paths versus number of basis functions in American option pricing
- Classical solutions to reaction-diffusion systems for hedging problems with interacting Itô and point processes
- Asymptotic analysis for one-name credit derivatives
- A revised version of the Cathcart \& El-Jahel model and its application to CDS market
- Decomposition of default probability under a structural credit risk model with jumps
- Dynamic asset pricing theory with uncertain time-horizon
- Pricing credit derivatives under stochastic recovery in a hybrid model
- On Cox processes and credit risky securities
- Counterparty risk valuation on credit-linked notes under a Markov chain framework
- Risk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion model
- The use of BSDEs to characterize the mean-variance hedging problem and the variance optimal martingale measure for defaultable claims
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