Pages that link to "Item:Q5940704"

The following pages link to Credit risk: Modelling, valuation and hedging (Q5940704):

Displaying 50 items.

• Fuzzy semi-Markov migration process in credit risk (Q2445431) (← links)
• Consistent dynamic affine mortality models for longevity risk applications (Q2445991) (← links)
• Local risk-minimization under the benchmark approach (Q2452150) (← links)
• Numerical methods to quantify the model risk of basket default swaps (Q2453103) (← links)
• A model of credit risk based on cash flow (Q2460607) (← links)
• Information reduction via level crossings in a credit risk models (Q2463710) (← links)
• Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling (Q2463723) (← links)
• Loss reserves in the light of stochastic processes (Q2465908) (← links)
• Credit derivatives in an affine framework (Q2471738) (← links)
• Credit risk optimization using factor models (Q2480237) (← links)
• Quadratic hedging methods for defaultable claims (Q2480782) (← links)
• A reflection principle for correlated defaults (Q2490052) (← links)
• Estimating doubly stochastic Poisson process with affine intensities by Kalman filter (Q2516623) (← links)
• Default probabilities of a holding company, with complete and partial information (Q2517514) (← links)
• Closed-form formulas for the distribution of the jumps of doubly-stochastic Poisson processes (Q2631807) (← links)
• Markov chain approximation and measure change for time-inhomogeneous stochastic processes (Q2662572) (← links)
• Classical solutions of the backward PIDE for Markov modulated marked point processes and applications to CAT bonds (Q2665872) (← links)
• Time-consistent evaluation of credit risk with contagion (Q2667125) (← links)
• Berry-Esseen inequalities for the fractional Black-Karasinski model of term structure of interest rates (Q2671516) (← links)
• CVA in fractional and rough volatility models (Q2700343) (← links)
• Credit risk and incomplete information: filtering and EM parameter estimation (Q2786032) (← links)
• A multidimensional exponential utility indifference pricing model with applications to counterparty risk (Q2796752) (← links)
• Pricing and valuation under the real-world measure (Q2797876) (← links)
• A Markov Chain Copula Model for Credit Default Swaps with Bilateral Counterparty Risk (Q2815378) (← links)
• An improved approach to evaluate default probabilities and default correlations with consistency (Q2816962) (← links)
• A structural jump threshold framework for credit risk (Q2819097) (← links)
• Expectations of functions of stochastic time with application to credit risk modeling (Q2831002) (← links)
• On valuation with stochastic proportional hazard models in finance (Q2841334) (← links)
• Rating based Lévy Libor model (Q2851557) (← links)
• Pricing Defaultable Bonds in a Markov Modulated Market (Q2893288) (← links)
• A remark on credit risk models and copula (Q2920941) (← links)
• CREDIT RISK VALUATION WITH RATING TRANSITIONS AND PARTIAL INFORMATION (Q2941063) (← links)
• The Formation of Financial Bubbles in Defaultable Markets (Q2941472) (← links)
• Brownian Bridges on Random Intervals (Q2967978) (← links)
• DEFAULTABLE OPTIONS IN A MARKOVIAN INTENSITY MODEL OF CREDIT RISK (Q3005840) (← links)
• STATIC HEDGING OF DEFAULTABLE CONTINGENT CLAIMS: A SIMPLE HEDGING SCHEME ACROSS EQUITY AND CREDIT MARKETS (Q3005959) (← links)
• REGIME SWITCHING TERM STRUCTURE MODEL UNDER PARTIAL INFORMATION (Q3005960) (← links)
• A UNIFIED FRAMEWORK FOR PRICING CREDIT AND EQUITY DERIVATIVES (Q3008488) (← links)
• Term structure of credit spreads with learning and anticipation effects (Q3020620) (← links)
• An optimal portfolio problem in a defaultable market (Q3059692) (← links)
• Sato Processes in Default Modelling (Q3063871) (← links)
• INFORMATION ASYMMETRY IN PRICING OF CREDIT DERIVATIVES (Q3094325) (← links)
• EXPLICIT COMPUTATIONS FOR A FILTERING PROBLEM WITH POINT PROCESS OBSERVATIONS WITH APPLICATIONS TO CREDIT RISK (Q3100886) (← links)
• (Q3160495) (← links)
• Random Time with Differentiable Conditional Distribution Function (Q3178730) (← links)
• Affine LIBOR Models with Multiple Curves: Theory, Examples and Calibration (Q3195114) (← links)
• AN INFINITE FACTOR MODEL FOR CREDIT RISK (Q3379409) (← links)
• CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK (Q3393976) (← links)
• An Excursion-Theoretic Approach to Regulator’s Bank Reorganization Problem (Q3450458) (← links)
• INTENSITY‐BASED VALUATION OF RESIDENTIAL MORTGAGES: AN ANALYTICALLY TRACTABLE MODEL (Q3502165) (← links)