A boundary crossing model of counterparty risk

DOI10.1016/S0165-1889(02)00082-9zbMath1178.91064OpenAlexW2115013756MaRDI QIDQ951388

Kian Esteghamat

Publication date: 24 October 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1889(02)00082-9

zbMATH Keywords

counterparty risksovereign defaultmarket-implied credit score

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Pricing the risks of default
• Martingales and stochastic integrals in the theory of continuous trading
• A general version of the fundamental theorem of asset pricing
• The pricing of credit risk derivatives
• DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS
• Stochastic differential equations. An introduction with applications.

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