Default risk and derivative products

DOI10.1080/13504869600000003zbMath1097.91531OpenAlexW1976503476MaRDI QIDQ4541532

Olivier Scaillet

Publication date: 1996

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504869600000003

Mathematics Subject Classification ID

Related Items (1)

On Cox processes and credit risky securities

Cites Work

• The Pricing of Options and Corporate Liabilities
• Pricing the risks of default
• Martingales and arbitrage in multiperiod securities markets
• Recursive valuation of defaultable securities and the timing of resolution of uncertainty
• A Theory of the Term Structure of Interest Rates
• DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS
• A new integral equation for the evaluation of first-passage-time probability densities
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Hedging quantos, differential swaps and ratios
• An equilibrium characterization of the term structure
• Option pricing: A simplified approach

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