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Pricing vulnerable claims in a Lévy-driven model
Capponi, Agostino; Pagliarani, Stefano; Vargiolu, Tiziano - In: Finance and stochastics 18 (2014) 4, pp. 755-789
Persistent link: https://www.econbiz.de/10010413669
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Scenario-based risk evaluation
Wang, Ruodu; Ziegel, Johanna F. - In: Finance and stochastics 25 (2021) 4, pp. 725-756
Persistent link: https://www.econbiz.de/10012665201
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Aggregation-robustness and model uncertainty of regulatory risk measures
Embrechts, Paul; Wang, Bin; Wang, Ruodu - In: Finance and stochastics 19 (2015) 4, pp. 763-790
Persistent link: https://www.econbiz.de/10011420503
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Time-dynamic evaluations under non-monotone information generated by marked point processes
Christiansen, Marcus C. - In: Finance and stochastics 25 (2021) 3, pp. 563-596
Persistent link: https://www.econbiz.de/10012585987
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An enlargement of filtration formula with applications to multiple non-ordered default times
Jeanblanc, Monique; Li, Libo; Song, Shiqi - In: Finance and stochastics 22 (2018) 1, pp. 205-240
Persistent link: https://www.econbiz.de/10011945652
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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 capital structure and endogenous default
Hilberink, Bianca; Rogers, Leonard C. G. - In: Finance and stochastics 6 (2002) 2, pp. 237-263
Persistent link: https://www.econbiz.de/10001662473
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Principles of smooth and continous fit in the determination of endogenous bankrupty levels
Kyprianou, A. E.; Surya, B. A. - In: Finance and stochastics 11 (2007) 1, pp. 131-152
Persistent link: https://www.econbiz.de/10003410641
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The Leland-Toft optimal capital structure model under Poisson observations
Palmowski, Zbigniew; Pérez, José Luis; Budhi Arta Surya; … - In: Finance and stochastics 24 (2020) 4, pp. 1035-1082
Persistent link: https://www.econbiz.de/10012518151
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Risk sharing for capital requirements with multidimensional security markets
Liebrich, Felix-Benedikt; Svindland, Gregor - In: Finance and stochastics 23 (2019) 4, pp. 925-973
Persistent link: https://www.econbiz.de/10012114664