Default and information
From MaRDI portal
Publication:959675
DOI10.1016/j.jedc.2005.07.003zbMath1162.91458OpenAlexW3123734407MaRDI QIDQ959675
Publication date: 12 December 2008
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2005.07.003
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Microeconomic theory (price theory and economic markets) (91B24) Applications of stochastic analysis (to PDEs, etc.) (60H30) Economics of information (91B44)
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Cites Work
- The Pricing of Options and Corporate Liabilities
- On Cox processes and credit risky securities
- Recursive valuation of defaultable securities and the timing of resolution of uncertainty
- Relative densities of semimartingales
- DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS
- Term Structures of Credit Spreads with Incomplete Accounting Information
- An Introduction to the Theory of Point Processes
- The exit measure of a supermartingale
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