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Pricing equity default swaps under the jump-to-default extended CEV model
Mendoza-Arriaga, Rafael; Linetsky, Vadim - In: Finance and stochastics 15 (2011) 3, pp. 513-540
Persistent link: https://www.econbiz.de/10009303137
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Optimal investment and contingent claim valuation in illiquid markets
Pennanen, Teemu - In: Finance and stochastics 18 (2014) 4, pp. 733-754
Persistent link: https://www.econbiz.de/10010413679
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On ruin probabilities with investments in a risky asset with a regime-switching price
Kabanov, Jurij M.; Pergamenščikov, Sergej M. - In: Finance and stochastics 26 (2022) 4, pp. 877-897
Persistent link: https://www.econbiz.de/10013440255
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Background filtrations and canonical loss processes for top-down models of portfolio credit risk
Ehlers, Philippe; Schönbucher, Philipp J. - In: Finance and stochastics 13 (2009) 1, pp. 79-103
Persistent link: https://www.econbiz.de/10003939478
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A generalization of Panjer's recursion and numerically stable risk aggregation
Gerhold, Stefan; Schmock, Uwe; Warnung, Richard - In: Finance and stochastics 14 (2010) 1, pp. 81-128
Persistent link: https://www.econbiz.de/10003924803
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Portfolio optimization with insider's initial information and counterparty risk
Hillairet, Caroline; Jiao, Ying - In: Finance and stochastics 19 (2015) 1, pp. 109-134
Persistent link: https://www.econbiz.de/10011417122
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Dynamic credit investment in partially observed markets
Capponi, Agostino; Figueroa-López, José E.; Pascucci, … - In: Finance and stochastics 19 (2015) 4, pp. 891-939
Persistent link: https://www.econbiz.de/10011421091
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Beyond cash-additive risk measures : when changing the numéraire fails
Farkas, Walter; Koch Medina, Pablo; Munari, Cosimo - In: Finance and stochastics 18 (2014) 1, pp. 145-173
Persistent link: https://www.econbiz.de/10010235455
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Analytical value-at-risk with jumps and credit risk
Duffie, Darrell; Pan, Jun - In: Finance and stochastics 5 (2001) 2, pp. 155-180
Persistent link: https://www.econbiz.de/10001571486
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Time reversal and last passage time of diffusions with applications to credit risk management
Egami, Masahiko; Kevkhishvili, Rusudan - In: Finance and stochastics 24 (2020) 3, pp. 795-825
Persistent link: https://www.econbiz.de/10012518100