Pages that link to "Item:Q5940704"
From MaRDI portal
The following pages link to Credit risk: Modelling, valuation and hedging (Q5940704):
Displaying 50 items.
- PDE APPROACH TO THE VALUATION AND HEDGING OF BASKET CREDIT DERIVATIVES (Q3503044) (← links)
- (Q3518609) (← links)
- Perpetual convertible bonds with credit risk (Q3549304) (← links)
- (Q3550879) (← links)
- Problems of Mathematical Finance by Stochastic Control Methods (Q3557801) (← links)
- (Q3569560) (← links)
- INDIFFERENCE VALUATION OF MORTGAGE-BACKED SECURITIES IN THE PRESENCE OF PREPAYMENT RISK (Q3576958) (← links)
- Recent Advances in Credit Risk Management (Q3606100) (← links)
- MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL (Q3608736) (← links)
- A DYNAMIC APPROACH TO THE MODELING OF CORRELATION CREDIT DERIVATIVES USING MARKOV CHAINS (Q3632193) (← links)
- A Note on Credit Insurance (Q3632839) (← links)
- LOCAL RISK MINIMIZATION FOR DEFAULTABLE MARKETS (Q3650927) (← links)
- VALUATION OF CREDIT DEFAULT SWAPTIONS AND CREDIT DEFAULT INDEX SWAPTIONS (Q3655556) (← links)
- The Defaultable Lévy Term Structure: Ratings and Restructuring (Q4409031) (← links)
- (Q4489979) (← links)
- Impact of multiple curve dynamics in credit valuation adjustments under collateralization (Q4554408) (← links)
- A multiple-curve Lévy forward rate model in a two-price economy (Q4554436) (← links)
- Asymptotic Expansion Approach in Finance (Q4560338) (← links)
- Credit-Risk Modelling (Q4561684) (← links)
- Dynamic Hedging of Counterparty Exposure (Q4561926) (← links)
- Some Extensions of Norros’ Lemma in Models with Several Defaults (Q4561936) (← links)
- Optimal reinsurance and investment problem in a defaultable market (Q4563472) (← links)
- OPTION PRICING IN THE VARIANCE-GAMMA MODEL UNDER THE DRIFT JUMP (Q4571696) (← links)
- Time-Coherent Risk Measures for Continuous-Time Markov Chains (Q4579838) (← links)
- Default Times in a Continuous Time Markov Chain Economy (Q4584997) (← links)
- Indifference fee rate for variable annuities (Q4585679) (← links)
- COMPUTING CREDIT VALUATION ADJUSTMENT FOR BERMUDAN OPTIONS WITH WRONG WAY RISK (Q4602499) (← links)
- Calculation of Exposure Profiles and Sensitivities of Options under the Heston and the Heston Hull-White Models (Q4604870) (← links)
- Tracking bond indices in an integrated market and credit risk environment (Q4647251) (← links)
- Aggregating sectors in the infectious defaults model (Q4647597) (← links)
- Credit risk with asymmetric information on the default threshold (Q4648582) (← links)
- COUNTERPARTY RISK PRICING: IMPACT OF CLOSEOUT AND FIRST-TO-DEFAULT TIMES (Q4649502) (← links)
- A GENERAL FRAMEWORK FOR PRICING CREDIT RISK (Q4673845) (← links)
- On break-even correlation: the way to price structured credit derivatives by replication (Q4683100) (← links)
- Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model (Q4683115) (← links)
- Nonlinearity Valuation Adjustment (Q4689899) (← links)
- Analysis of Nonlinear Valuation Equations Under Credit and Funding Effects (Q4689900) (← links)
- Tight Semi-model-free Bounds on (Bilateral) CVA (Q4689903) (← links)
- Impact of Multiple-Curve Dynamics in Credit Valuation Adjustments (Q4689911) (← links)
- A Generalized Intensity-Based Framework for Single-Name Credit Risk (Q4689912) (← links)
- Valuation of a loan-only credit default swap with negatively correlated default and prepayment intensities (Q4903546) (← links)
- A NONZERO‐SUM GAME APPROACH TO CONVERTIBLE BONDS: TAX BENEFIT, BANKRUPTCY COST, AND EARLY/LATE CALLS (Q4906514) (← links)
- ON SURRENDER AND DEFAULT RISKS (Q4906517) (← links)
- THE MEANING OF MARKET EFFICIENCY (Q4906537) (← links)
- A CLOSED-FORM EXTENSION TO THE BLACK-COX MODEL (Q4909138) (← links)
- RISK PREMIA AND OPTIMAL LIQUIDATION OF CREDIT DERIVATIVES (Q4909145) (← links)
- GRAPHICAL MODELS FOR CORRELATED DEFAULTS (Q4919613) (← links)
- Limit theorems for the fractional nonhomogeneous Poisson process (Q4968521) (← links)
- A Nonuniformly Integrable Martingale Bubble with a Crash (Q4971975) (← links)
- Explicit Computations for Some Markov Modulated Counting Processes (Q4976494) (← links)