scientific article; zbMATH DE number 2174797

zbMATH Open1072.91021MaRDI QIDQ4682145FDOQ4682145

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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• A "COHERENT STATE TRANSFORM" APPROACH TO DERIVATIVE PRICING
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• Local risk minimization for defaultable markets
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• The Jarrow and Turnbull setting revisited
• Pricing credit from the top down with affine point processes
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• Expectations of functions of stochastic time with application to credit risk modeling
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