The following pages link to Pricing the risks of default (Q375364):
Displaying 50 items.
- Pricing derivatives with counterparty risk and collateralization: a fixed point approach (Q320989) (← links)
- The valuation and behavior of Black-Scholes options subject to intertemporal default risk (Q375238) (← links)
- On Cox processes and credit risky securities (Q375362) (← links)
- Pricing the risks of default (Q375364) (← links)
- Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model (Q506063) (← links)
- Partial differential equation pricing method for double-name credit-linked notes with counterparty risk in a reduced-form model with common shocks (Q517945) (← links)
- Classical solutions to reaction-diffusion systems for hedging problems with interacting Itô and point processes (Q558663) (← links)
- A Markov regime-switching marked point process for short-rate analysis with credit risk (Q611051) (← links)
- Closed-form solutions for pricing credit-risky bonds and bond options (Q632832) (← links)
- Credit risky securities valuation under a contagion model with interacting intensities (Q642743) (← links)
- Valuing risky debt: a new model combining structural information with the reduced-form approach (Q743165) (← links)
- Jumps in intensity models: investigating the performance of Ornstein-Uhlenbeck processes in credit risk modeling (Q745333) (← links)
- A jump to default extended CEV model: an application of Bessel processes (Q854279) (← links)
- Risk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion model (Q878214) (← links)
- The optimal capital structure of the firm with stable Lévy assets returns (Q940998) (← links)
- Optimal investment in a defaultable bond (Q941018) (← links)
- A boundary crossing model of counterparty risk (Q951388) (← links)
- Dynamic asset pricing theory with uncertain time-horizon (Q956467) (← links)
- Implied recovery (Q1032681) (← links)
- Recursive valuation of defaultable securities and the timing of resolution of uncertainty (Q1354833) (← links)
- The pricing of credit risk derivatives (Q1391255) (← links)
- Unifying discrete structural models and reduced-form models in credit risk using a jump-diffusion process. (Q1423367) (← links)
- Affine processes and applications in finance (Q1425484) (← links)
- Tempered stable structural model in pricing credit spread and credit default swap (Q1621638) (← links)
- Total return swap valuation with counterparty risk and interest rate risk (Q1724070) (← links)
- The optimal analysis of default probability for a credit risk model (Q1725187) (← links)
- Valuation of the vulnerable option price based on mixed fractional Brownian motion (Q1727085) (← links)
- Number of paths versus number of basis functions in American option pricing (Q1769425) (← links)
- The pricing of credit default swaps under a generalized mixed fractional Brownian motion (Q1782751) (← links)
- Pricing of multiple defaultable bond (Q1847632) (← links)
- On the term structure of lending interest rates when a fraction of collateral is recovered upon default (Q1880944) (← links)
- Decomposition of default probability under a structural credit risk model with jumps (Q1936262) (← links)
- The pricing of total return swap under default contagion models with jump-diffusion interest rate risk (Q1985946) (← links)
- Asymptotic analysis for one-name credit derivatives (Q2015749) (← links)
- The valuation of multi-counterparties CDS with credit rating migration (Q2033486) (← links)
- Counterparty risk valuation on credit-linked notes under a Markov chain framework (Q2036124) (← links)
- A revised version of the Cathcart \& El-Jahel model and its application to CDS market (Q2064595) (← links)
- On a convergent power series method to price defaultable bonds in a Vašíček-CIR model (Q2113272) (← links)
- A closed-form pricing formula for vulnerable European options under stochastic yield spreads and interest rates (Q2213599) (← links)
- The pricing of credit risky securities under stochastic interest rate model with default correlation. (Q2249860) (← links)
- The use of BSDEs to characterize the mean-variance hedging problem and the variance optimal martingale measure for defaultable claims (Q2258827) (← links)
- A Monte-Carlo based approach for pricing credit default swaps with regime switching (Q2293596) (← links)
- The dependence of assets and default threshold with thinning-dependence structure (Q2358872) (← links)
- The European vulnerable option pricing with jumps based on a mixed model (Q2398560) (← links)
- Default-risky bond prices with jumps, liquidity risk and incomplete information (Q2477606) (← links)
- Pricing corporate bonds with credit risk, liquidity risk, and their correlation (Q2663021) (← links)
- Stochastic volatility asymptotics of defaultable interest rate derivatives under a quadratic Gaussian model (Q2951895) (← links)
- Pricing credit derivatives under stochastic recovery in a hybrid model (Q3103152) (← links)
- DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS (Q3126233) (← links)
- CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK (Q3393976) (← links)
