Pages that link to "Item:Q5940704"
From MaRDI portal
The following pages link to Credit risk: Modelling, valuation and hedging (Q5940704):
Displaying 50 items.
- Variable annuities in a Lévy-based hybrid model with surrender risk (Q4991063) (← links)
- CVA AND VULNERABLE OPTIONS IN STOCHASTIC VOLATILITY MODELS (Q4994443) (← links)
- A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes (Q4995066) (← links)
- Portfolio credit risk with predetermined default orders (Q5001115) (← links)
- FROM BID-ASK CREDIT DEFAULT SWAP QUOTES TO RISK-NEUTRAL DEFAULT PROBABILITIES USING DISTORTED EXPECTATIONS (Q5010070) (← links)
- XVA analysis from the balance sheet (Q5014178) (← links)
- Modern Financial Engineering (Q5029733) (← links)
- LOWER TAIL INDEPENDENCE OF HITTING TIMES OF TWO-DIMENSIONAL DIFFUSIONS (Q5050854) (← links)
- Extended reduced-form framework for non-life insurance (Q5055334) (← links)
- A double obstacle model for pricing bi-leg defaultable interest rate swaps (Q5056713) (← links)
- LOCAL RISK MINIMIZATION OF CONTINGENT CLAIMS SIMULTANEOUSLY EXPOSED TO ENDOGENOUS AND EXOGENOUS DEFAULT TIMES (Q5061487) (← links)
- MODELING LIFETIME EXPECTED CREDIT LOSSES ON BANK LOANS (Q5061495) (← links)
- The pricing of defaultable bonds under a regime-switching jump-diffusion model with stochastic default barrier (Q5078105) (← links)
- Pricing default risk in mortgage-backed securities under a regime-switching reduced-form model (Q5078511) (← links)
- Valuation of mortgage pass-through securities with partial prepayment risk (Q5093701) (← links)
- When Capital Is a Funding Source: The Anticipated Backward Stochastic Differential Equations of X-Value Adjustments (Q5112532) (← links)
- Characteristics and Constructions of Default Times (Q5123452) (← links)
- Risk Measures and Progressive Enlargement of Filtration: A BSDE Approach (Q5131410) (← links)
- Enlargement of Filtration in Discrete Time (Q5132612) (← links)
- Metamodel of a Large Credit Risk Portfolio in the Gaussian Copula Model (Q5144186) (← links)
- Credit Risk Propagation in Structural-Form Models (Q5162860) (← links)
- BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING (Q5175221) (← links)
- BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA (Q5175222) (← links)
- Successive enlargement of filtrations and application to insider information (Q5233185) (← links)
- Remarks on an arbitrage-free condition for XVA (Q5236564) (← links)
- Pricing discrete barrier options and credit default swaps under Lévy processes (Q5245896) (← links)
- Valuation of Structured Financial Products by Adaptive Multiwavelet Methods in High Dimensions (Q5256567) (← links)
- COCO BONDS PRICING WITH CREDIT AND EQUITY CALIBRATED FIRST-PASSAGE FIRM VALUE MODELS (Q5256831) (← links)
- PROBABILITY DENSITY OF RECOVERY RATE GIVEN DEFAULT OF A FIRM’S DEBT AND ITS CONSTITUENT TRANCHES (Q5281719) (← links)
- AN EXTENSION OF THE BRODY–HUGHSTON–MACRINA APPROACH TO MODELING OF DEFAULTABLE BONDS (Q5297239) (← links)
- INFORMATIONALLY DYNAMIZED GAUSSIAN COPULA (Q5299994) (← links)
- RESTRUCTURING COUNTERPARTY CREDIT RISK (Q5299996) (← links)
- Asymptotic Equivalence Between Boundary Perturbations and Discrete Exit Times: Application to Simulation Schemes (Q5326101) (← links)
- Importance Sampling Estimation of Joint Default Probability under Structural-Form Models with Stochastic Correlation (Q5326120) (← links)
- Utility maximization under risk constraints and incomplete information for a market with a change point (Q5373913) (← links)
- Hedging the Risk of Delayed Data in Defaultable Markets (Q5382631) (← links)
- VALUATION AND HEDGING OF CDS COUNTERPARTY EXPOSURE IN A MARKOV COPULA MODEL (Q5389101) (← links)
- On the conditional default probability in a regulated market with jump risk (Q5400666) (← links)
- Conditional Characteristic Functions of Molchan-Golosov Fractional Lévy Processes with Application to Credit Risk (Q5407022) (← links)
- Credit Derivatives Pricing Based on Lévy Field Driven Term Structure (Q5413860) (← links)
- DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME‐SWITCHING (Q5416702) (← links)
- PRICING AND SEMIMARTINGALE REPRESENTATIONS OF VULNERABLE CONTINGENT CLAIMS IN REGIME‐SWITCHING MARKETS (Q5416703) (← links)
- CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS (Q5422627) (← links)
- An inhomogeneous semi-Markov model for the term structure of credit risk spreads (Q5475395) (← links)
- AN INTENSITY-BASED APPROACH TO THE VALUATION OF MORTGAGE CONTRACTS AND COMPUTATION OF THE ENDOGENOUS MORTGAGE RATE (Q5487830) (← links)
- PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY (Q5488975) (← links)
- PARTIAL INFORMATION AND HAZARD PROCESS (Q5704734) (← links)
- Optimal Investment Under Information Driven Contagious Distress (Q5737638) (← links)
- Dynamic Portfolio Optimization with Looping Contagion Risk (Q5742492) (← links)
- Valuation of Mortgage-Backed Securities and Mortgage Derivatives: A Closed-Form Approximation (Q5851722) (← links)
