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A structural approach to default modelling with pure jump processes
Aguilar, Jean-Philippe; Pesci, Nicolas; James, Victor - In: Applied mathematical finance 28 (2021) 1, pp. 48-78
Persistent link: https://www.econbiz.de/10012625981
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Exponential Lévy models extended by a jump to default
Yamazaki, Akira - In: Applied mathematical finance 20 (2013) 3/4, pp. 211-228
Persistent link: https://www.econbiz.de/10010187668
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Hedging the risk of delayed data in defaultable markets
Okhrati, Ramin - In: Applied mathematical finance 26 (2019) 2, pp. 101-130
Persistent link: https://www.econbiz.de/10012210262
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Modelling credit risk in the jump threshold framework
Chiu, Chun-Yuan; Kercheval, Alec - In: Applied mathematical finance 25 (2018) 5/6, pp. 411-433
Persistent link: https://www.econbiz.de/10012129172
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Default times in a continuous time Markov chain economy
Elliott, Robert J.; Hoek, John van der - In: Applied mathematical finance 20 (2013) 5/6, pp. 450-460
Persistent link: https://www.econbiz.de/10010235596
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A numerical method to price defaultable bonds based on the Madan and Unal credit risk model
Ballestra, Luca Vincenzo; Pacelli, Graziella - In: Applied mathematical finance 16 (2009) 1/2, pp. 17-36
Persistent link: https://www.econbiz.de/10003847142
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Multiscale intensity models and name grouping for valuation of multi-name credit derivatives
Papageorgiou, Evan; Sircar, Kaushik Ronnie - In: Applied mathematical finance 16 (2009) 3/4, pp. 353-383
Persistent link: https://www.econbiz.de/10003916203
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Multiscale intensity models for single name credit derivatives
Papageorgiou, E.; Sircar, Kaushik Ronnie - In: Applied mathematical finance 15 (2008) 1/2, pp. 73-105
Persistent link: https://www.econbiz.de/10003751113
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Empirical evaluation of hybrid defaultable bond pricing models
Antes, S.; Ilg, M.; Schmid, Beat; Zagst, Rudi - In: Applied mathematical finance 15 (2008) 3/4, pp. 219-249
Persistent link: https://www.econbiz.de/10003751234
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The pricing of risky coupon bonds
Choong, Lilly; McKenzie, George - In: Applied mathematical finance 6 (1999) 4, pp. 261-273
Persistent link: https://www.econbiz.de/10001517816