Pages that link to "Item:Q3632193"
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The following pages link to A DYNAMIC APPROACH TO THE MODELING OF CORRELATION CREDIT DERIVATIVES USING MARKOV CHAINS (Q3632193):
Displaying 11 items.
- A reduced-form model for correlated defaults with regime-switching shot noise intensities (Q292361) (← links)
- Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering (Q1761434) (← links)
- Linear credit risk models (Q2282965) (← links)
- Pricing credit derivatives under a correlated regime-switching hazard processes model (Q2397578) (← links)
- A Multivariate Regime-Switching Mean Reverting Process and Its Application to the Valuation of Credit Risk (Q2875524) (← links)
- CONTAGION EFFECTS AND COLLATERALIZED CREDIT VALUE ADJUSTMENTS FOR CREDIT DEFAULT SWAPS (Q2941060) (← links)
- Sato Processes in Default Modelling (Q3063871) (← links)
- Asset Pricing Using Finite State Markov Chain Stochastic Discount Functions (Q4648515) (← links)
- The pricing of defaultable bonds under a regime-switching jump-diffusion model with stochastic default barrier (Q5078105) (← links)
- Parameter Estimation in Credit Models Under Incomplete Information (Q5419657) (← links)
- An extension of Davis and Lo's contagion model (Q5746773) (← links)
