Pages that link to "Item:Q375362"

The following pages link to On Cox processes and credit risky securities (Q375362):

Displaying 50 items.

• A Markov copula model with regime switching and its application (Q272813) (← links)
• Finite difference methods for pricing American put option with rationality parameter: numerical analysis and computing (Q273385) (← links)
• Asymptotic traveling wave solution for a credit rating migration problem (Q281649) (← links)
• Cure events in default prediction (Q296900) (← links)
• Closed-form solutions for guaranteed minimum accumulation and death benefits (Q303739) (← links)
• Computational analysis of a Markovian queueing system with geometric mean-reverting arrival process (Q342132) (← links)
• Pricing options with credit risk in Markovian regime-switching markets (Q364454) (← links)
• Delta-gamma hedging of mortality and interest rate risk (Q414608) (← links)
• On absolutely continuous compensators and nonlinear filtering equations in default risk models (Q454855) (← links)
• Default barrier intensity model for credit risk evaluation (Q464482) (← links)
• Computing survival probabilities based on stochastic differential models (Q464647) (← links)
• Bilateral counterparty risk valuation on a CDS with a common shock model (Q479176) (← links)
• Classical solutions to reaction-diffusion systems for hedging problems with interacting Itô and point processes (Q558663) (← links)
• Pricing CDO tranches in an intensity based model with the mean reversion approach (Q614311) (← links)
• Modelling the evolution of credit spreads using the Cox process within the HJM framework: a CDS option pricing model (Q621671) (← links)
• Closed-form solutions for pricing credit-risky bonds and bond options (Q632832) (← links)
• Valuation of portfolio credit derivatives with default intensities using the Vasicek model (Q633823) (← links)
• Credit risky securities valuation under a contagion model with interacting intensities (Q642743) (← links)
• On the robustness of longevity risk pricing (Q661262) (← links)
• Valuing risky debt: a new model combining structural information with the reduced-form approach (Q743165) (← links)
• Pricing derivatives using the asymptotic expansion approach: credit migration models with stochastic credit spreads (Q763417) (← links)
• Affine processes for dynamic mortality and actuarial valuations (Q817280) (← links)
• How to invest optimally in corporate bonds: a reduced-form approach (Q844585) (← links)
• A mixed PDE-Monte Carlo approach for pricing credit default index swaptions (Q882492) (← links)
• Utility indifference valuation of corporate bond with rating migration risk (Q889421) (← links)
• Weak convergence of equity derivatives pricing with default risk (Q893958) (← links)
• A reduced-form intensity-based model under fuzzy environments (Q907676) (← links)
• Quadratic stochastic intensity and prospective mortality tables (Q938051) (← links)
• A model for dependent default with hyperbolic attenuation effect and valuation of credit default swap (Q940499) (← links)
• Optimal investment in a defaultable bond (Q941018) (← links)
• Credit contagion and aggregate losses (Q956527) (← links)
• Default and information (Q959675) (← links)
• A bootstrap test for the comparison of nonlinear time series (Q961279) (← links)
• Modelling stochastic mortality for dependent lives (Q974810) (← links)
• What happens after a default: the conditional density approach (Q981009) (← links)
• Asset allocation with contagion and explicit bankruptcy procedures (Q999740) (← links)
• Supplier default dependencies: empirical evidence from the automotive industry (Q1042117) (← links)
• A Cox process with log-normal intensity. (Q1413360) (← links)
• Affine processes and applications in finance (Q1425484) (← links)
• Pricing catastrophe options with counterparty credit risk in a reduced form model (Q1637025) (← links)
• Pricing credit default swaps with bilateral counterparty risk in a reduced form model with Markov regime switching (Q1644065) (← links)
• Evaluation of counterparty risk for derivatives with early-exercise features (Q1657201) (← links)
• Pricing and hedging vulnerable option with funding costs and collateral (Q1663930) (← links)
• Explicit formula for the valuation of catastrophe put option with exponential jump and default risk (Q1676808) (← links)
• Total return swap valuation with counterparty risk and interest rate risk (Q1724070) (← links)
• The dynamic spread of the forward CDS with general random loss (Q1724436) (← links)
• A new default probability calculation formula and its application under uncertain environments (Q1727067) (← links)
• Valuation of the vulnerable option price based on mixed fractional Brownian motion (Q1727085) (← links)
• Random distribution kernels and three types of defaultable contingent payoffs (Q1735048) (← links)
• Pricing of defaultable securities associated with recovery rate under the stochastic interest rate driven by fractional Brownian motion (Q1738521) (← links)