Valuation of default-sensitive claims under imperfect information

DOI10.1007/s00780-007-0060-6zbMath1150.91015MaRDI QIDQ928501

Hélyette Geman, Delia Coculescu, Monique Jeanblanc-Picqué

Publication date: 18 June 2008

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/20.500.11850/10607

zbMATH Keywords

default risk; default time; Imperfect information; hazard process; conditional default probabilities

Mathematics Subject Classification ID

60G35: Signal detection and filtering (aspects of stochastic processes)

91B26: Auctions, bargaining, bidding and selling, and other market models

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Analytic crossing probabilities for certain barriers by Brownian motion, PRICING CORPORATE SECURITIES UNDER NOISY ASSET INFORMATION, CREDIT RISK MODELING WITH MISREPORTING AND INCOMPLETE INFORMATION

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