Pages that link to "Item:Q5940704"
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The following pages link to Credit risk: Modelling, valuation and hedging (Q5940704):
Displaying 50 items.
- A semiparametric factor model for CDO surfaces dynamics (Q268745) (← links)
- Large deviations for Markov-modulated diffusion processes with rapid switching (Q271854) (← links)
- A Markov copula model with regime switching and its application (Q272813) (← links)
- A tractable LIBOR model with default risk (Q356479) (← links)
- Optimal investment and consumption with default risk: HARA utility (Q370878) (← links)
- Nonexistence of Markovian time dynamics for graphical models of correlated default (Q415636) (← links)
- Random times and multiplicative systems (Q424521) (← links)
- The law of large numbers for self-exciting correlated defaults (Q436290) (← links)
- Optimal martingale measures for defaultable assets (Q436296) (← links)
- Local risk-minimization for defaultable claims with recovery process (Q442563) (← links)
- On absolutely continuous compensators and nonlinear filtering equations in default risk models (Q454855) (← links)
- Bilateral credit valuation adjustment for large credit derivatives portfolios (Q468421) (← links)
- Dynamic capital structure and the contingent capital option (Q470666) (← links)
- Stochastic mortality models: an infinite-dimensional approach (Q471180) (← links)
- Progressive enlargement of filtrations and backward stochastic differential equations with jumps (Q471510) (← links)
- Hedging of a credit default swaption in the CIR default intensity model (Q483934) (← links)
- Portfolio optimization with insider's initial information and counterparty risk (Q486930) (← links)
- Funding liquidity, debt tenor structure, and creditor's belief: an exogenous dynamic debt run model (Q496578) (← links)
- Conditional Markov chains: properties, construction and structured dependence (Q516008) (← links)
- Modelling default contagion using multivariate phase-type distributions (Q539143) (← links)
- Random times with given survival probability and their \(\mathbb F\)-martingale decomposition formula (Q544525) (← links)
- The pricing of perpetual convertible bond with credit risk (Q551442) (← links)
- Classical solutions to reaction-diffusion systems for hedging problems with interacting Itô and point processes (Q558663) (← links)
- The role of additional information in option pricing: estimation issues for the state space model (Q604920) (← links)
- Application of nonlinear filtering to credit risk (Q614031) (← links)
- Valuation of portfolio credit derivatives with default intensities using the Vasicek model (Q633823) (← links)
- Fair (intra-bank transfer) prices for credits with stochastic recovery (Q665817) (← links)
- Explicit portfolio for unit-linked life insurance contracts with surrender option (Q732095) (← links)
- Information, no-arbitrage and completeness for asset price models with a change point (Q740193) (← links)
- The early exercise boundary under the jump to default extended CEV model (Q781553) (← links)
- Analyses of mortgage-backed securities based on unobservable prepayment cost processes (Q853854) (← links)
- A jump to default extended CEV model: an application of Bessel processes (Q854279) (← links)
- Dynamic credit investment in partially observed markets (Q889624) (← links)
- Weak convergence of equity derivatives pricing with default risk (Q893958) (← links)
- Single jump processes and strict local martingales (Q901294) (← links)
- Credit risk and contagion via self-exciting default intensity (Q902175) (← links)
- A new approach for firm value and default probability estimation beyond Merton models (Q928142) (← links)
- The valuation of a firm's investment opportunities: a reduced form credit risk perspective (Q941724) (← links)
- Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management (Q988683) (← links)
- Valuation of cash flows under random rates of interest: a linear algebraic approach (Q997086) (← links)
- Distressed debt prices and recovery rate estimation (Q1029236) (← links)
- Defaultable game options in a hazard process model (Q1039923) (← links)
- Multi-factor affine term structure model with single regime shift: Real term structure under zero interest rate (Q1044238) (← links)
- General dynamic term structures under default risk (Q1615894) (← links)
- Quantifying risks with exact analytical solutions of derivative pricing distribution (Q1620497) (← links)
- Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement (Q1634318) (← links)
- Dependent defaults and losses with factor copula models (Q1648673) (← links)
- Dynamics of multivariate default system in random environment (Q1679470) (← links)
- Complete discounted cash flow valuation (Q1681180) (← links)
- Quantile hedging pension payoffs: an analysis of investment incentives (Q1689028) (← links)