Valuation of default-sensitive claims under imperfect information

DOI10.1007/s00780-007-0060-6zbMath1150.91015OpenAlexW1974390533MaRDI 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 riskdefault timeImperfect informationhazard processconditional default probabilities

Mathematics Subject Classification ID

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• Term Structures of Credit Spreads with Incomplete Accounting Information
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