scientific article; zbMATH DE number 7088123

zbMath1418.91574MaRDI QIDQ5226701

Alan White, J. C. Hull

Publication date: 1 August 2019

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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Deriving implied risk-free interest rates from bond and CDS quotes: a model-independent approach ⋮ The inverse first passage time problem for killed Brownian motion ⋮ Pricing vulnerable power exchange options in an intensity based framework ⋮ Analytical pricing of vulnerable options under a generalized jump-diffusion model ⋮ PRICING-HEDGING DUALITY FOR CREDIT DEFAULT SWAPS AND THE NEGATIVE BASIS ARBITRAGE ⋮ On the single name CDS price under structural modeling

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