Generalized Cox model for default times
From MaRDI portal
Publication:6105368
DOI10.3934/fmf.2022004zbMath1523.60089OpenAlexW3183714284MaRDI QIDQ6105368
Monique Jeanblanc-Picqué, Djibril Gueye
Publication date: 26 June 2023
Published in: Frontiers of Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/fmf.2022004
Related Items (1)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On Cox processes and credit risky securities
- Martingale representation property in progressively enlarged filtrations
- Mathematical methods for financial markets.
- Generalized density approach in progressive enlargement of filtrations
- What happens after a default: the conditional density approach
- General dynamic term structures under default risk
- Thin times and random times' decomposition
- The Itô-Ventzell formula and forward stochastic differential equations driven by Poisson random measures
- Progressive enlargements of filtrations with pseudo-honest times
- CIID Frailty Models and Implied Copulas
- TRANSFORM ANALYSIS FOR POINT PROCESSES AND APPLICATIONS IN CREDIT RISK
- Enlargement of Filtration with Finance in View
- Shot-Noise Processes in Finance
- DYNAMIC DEFAULTABLE TERM STRUCTURE MODELING BEYOND THE INTENSITY PARADIGM
- MODELING SOVEREIGN RISKS: FROM A HYBRID MODEL TO THE GENERALIZED DENSITY APPROACH
- A GENERAL FRAMEWORK FOR PRICING CREDIT RISK
- Financial Modelling with Jump Processes
- Characteristics and Constructions of Default Times
- Subordinators which are infinitely divisible w.r.t. time: Construction, properties, and simulation of max-stable sequences and infinitely divisible laws
- Projections, Pseudo-Stopping Times and the Immersion Property
- Credit risk: Modelling, valuation and hedging
This page was built for publication: Generalized Cox model for default times