scientific article; zbMATH DE number 2174797

zbMATH Open1072.91021MaRDI QIDQ4682145FDOQ4682145

Authors: Darrell Duffie 

Publication date: 10 June 2005

Title of this publication is not available (Why is that?)

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zbMATH Keywords

default intensityreduced-form approachrisk-neutral probabilities

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Credit risk (91G40)

Cited In (14)

• Pricing and hedging in affine models with possibility of default
• Conditional characteristic functions of Molchan-Golosov fractional Lévy processes with application to credit risk
• Affine point processes and portfolio credit risk
• On Cox processes and credit risky securities
• Polynomial jump-diffusions on the unit simplex
• Local risk minimization for defaultable markets
• Credit derivatives in an affine framework
• Title not available (Why is that?)
• Pricing credit from the top down with affine point processes
• Fundamental bubbles in equity markets
• Expectations of functions of stochastic time with application to credit risk modeling
• A "COHERENT STATE TRANSFORM" APPROACH TO DERIVATIVE PRICING
• The Jarrow and Turnbull setting revisited
• Conditional distributions of processes related to fractional Brownian motion

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