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.
- Quantile hedging pension payoffs: an analysis of investment incentives (Q1689028) (← links)
- Credit risk in an economy with new firms arrivals (Q1707052) (← links)
- Semi-analytical formula for pricing bilateral counterparty risk of CDS with correlated credit risks (Q1753344) (← links)
- Number of paths versus number of basis functions in American option pricing (Q1769425) (← links)
- Modeling credit risk with partial information. (Q1879905) (← links)
- On the term structure of lending interest rates when a fraction of collateral is recovered upon default (Q1880944) (← links)
- On the simulation of portfolios of interest rate and credit risk sensitive securities (Q1887920) (← links)
- Shot-noise driven multivariate default models (Q1936462) (← links)
- A multiple-curve HJM model of interbank risk (Q1938982) (← links)
- Asymptotic behaviour of the survival probabilities in an inhomogeneous semi-Markov model for the migration process in credit risk (Q1940089) (← links)
- Optimal portfolio and consumption selection with default risk (Q1946970) (← links)
- Causality between stopped filtrations and some applications (Q1982657) (← links)
- Credit risk and asymmetric information: a simplified approach (Q1994373) (← links)
- Perturbative expansion technique for non-linear FBSDEs with interacting particle method (Q2013321) (← links)
- Asymptotic analysis for one-name credit derivatives (Q2015749) (← links)
- Analytical valuation of vulnerable European and Asian options in intensity-based models (Q2020536) (← links)
- Counterparty risk valuation on credit-linked notes under a Markov chain framework (Q2036124) (← links)
- On the finite horizon optimal switching problem with random lag (Q2045122) (← links)
- CDS pricing with fractional Hawkes processes (Q2060433) (← links)
- A stochastic Stackelberg differential reinsurance and investment game with delay in a defaultable market (Q2074836) (← links)
- Time-consistent investment-reinsurance strategy with a defaultable security under ambiguous environment (Q2076384) (← links)
- Risk-sensitive credit portfolio optimization under partial information and contagion risk (Q2083252) (← links)
- Approximate value adjustments for European claims (Q2116937) (← links)
- Conditional multivariate distributions of phase-type for a finite mixture of Markov jump processes given observations of sample path (Q2146463) (← links)
- A lending scheme for a system of interconnected banks with probabilistic constraints of failure (Q2203046) (← links)
- American perpetual options with random start (Q2211060) (← links)
- Mean-variance asset-liability management in a non-Markovian regime-switching jump-diffusion market with random horizon (Q2238961) (← links)
- CVA and vulnerable options pricing by correlation expansions (Q2241073) (← links)
- Optimal investment and risk control problems with delay for an insurer in defaultable market (Q2244231) (← links)
- Pricing vulnerable claims in a Lévy-driven model (Q2255005) (← links)
- A family of density expansions for Lévy-type processes (Q2258531) (← links)
- Background filtrations and canonical loss processes for top-down models of portfolio credit risk (Q2271727) (← links)
- Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion (Q2273986) (← links)
- Linear credit risk models (Q2282965) (← links)
- Credit, funding, margin, and capital valuation adjustments for bilateral portfolios (Q2296097) (← links)
- Information uncertainty related to marked random times and optimal investment (Q2296112) (← links)
- Credit risk and solvency capital requirements (Q2323660) (← links)
- Reduced-form framework under model uncertainty (Q2330468) (← links)
- Optimal reinsurance and investment problem for an insurer with counterparty risk (Q2347114) (← links)
- No arbitrage in a simple credit risk model (Q2349364) (← links)
- A unified approach to pricing and risk management of equity and credit risk (Q2349596) (← links)
- On the single name CDS price under structural modeling (Q2349607) (← links)
- The dependence of assets and default threshold with thinning-dependence structure (Q2358872) (← links)
- On the asymptotic behavior of the prices of Asian options (Q2372254) (← links)
- Dynamical analysis of corporate bonds based on the yield spread term-quality surface (Q2372255) (← links)
- Polynomial diffusion models for life insurance liabilities (Q2374102) (← links)
- Pricing and trading credit default swaps in a hazard process model (Q2378639) (← links)
- Ergodic and adaptive control of hidden Markov models (Q2433234) (← links)
- Pricing European options on deferred annuities (Q2442531) (← links)
- Modeling credit value adjustment with downgrade-triggered termination clause using a ruin theoretic approach (Q2445353) (← links)
