Pages that link to "Item:Q3116718"
From MaRDI portal
The following pages link to A Discrete-Time Approach to Arbitrage-Free Pricing of Credit Derivatives (Q3116718):
Displaying 8 items.
- Modelling the evolution of credit spreads using the Cox process within the HJM framework: a CDS option pricing model (Q621671) (← links)
- Closed-form solutions for pricing credit-risky bonds and bond options (Q632832) (← links)
- Asymptotic expansion for term structures of defaultable bonds with non-Gaussian dependent innovations (Q2254285) (← links)
- Valuing credit derivatives in a jump-diffusion model (Q2383797) (← links)
- Credit derivatives in an affine framework (Q2471738) (← links)
- Multiple ratings model of defaultable term structure. (Q2707138) (← links)
- NO-ARMAGEDDON MEASURE FOR ARBITRAGE-FREE PRICING OF INDEX OPTIONS IN A CREDIT CRISIS (Q3100747) (← links)
- A GENERAL FRAMEWORK FOR PRICING CREDIT RISK (Q4673845) (← links)