scientific article; zbMATH DE number 2174797

MaRDI QIDQ4682145zbMATH OpenFDO

Authors Darrell Duffie

Publication date 10 June 2005

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)

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• Local risk minimization for defaultable markets
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• Conditional distributions of processes related to fractional Brownian motion
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• A "COHERENT STATE TRANSFORM" APPROACH TO DERIVATIVE PRICING
• Conditional characteristic functions of Molchan-Golosov fractional Lévy processes with application to credit risk
• The Jarrow and Turnbull setting revisited

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