PARTIAL INFORMATION AND HAZARD PROCESS

DOI10.1142/S0219024905003232zbMath1138.60329MaRDI QIDQ5704734

Stoyan Valchev, Monique Jeanblanc-Picqué

Publication date: 15 November 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

informationcredit riskintensitydefault-risky bondshazard process of default time

Mathematics Subject Classification ID

Related Items (7)

Valuation of default-sensitive claims under imperfect information ⋮ Credit risk with asymmetric information on the default threshold ⋮ Intensity process and compensator: A new filtration expansion approach and the Jeulin-Yor theorem ⋮ Default times, no-arbitrage conditions and changes of probability measures ⋮ Multiperiod conditional valuation of barrier options with incomplete information ⋮ Pricing CoCos with a Market Trigger ⋮ INFORMATION ASYMMETRY IN PRICING OF CREDIT DERIVATIVES

Cites Work

• The Pricing of Options and Corporate Liabilities
• On Models of Default Risk
• Term Structures of Credit Spreads with Incomplete Accounting Information
• Credit risk: Modelling, valuation and hedging

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