Narrow search
Showing 1 - 10 of 20
Cover Image
Reinforced urn processes for modeling credit default distribution
Amerio, Emanuele; Muliere, Pietro; Secchi, Piercesare - In: International journal of theoretical and applied finance 7 (2004) 4, pp. 407-423
Persistent link: https://www.econbiz.de/10002108791
Cover Image
Bilateral counterparty risk valuation of CDS contracts with simultaneous defaults
Teng, Long; Ehrhardt, Matthias; Günther, Michael - In: International journal of theoretical and applied finance 16 (2013) 7, pp. 1-20
Persistent link: https://www.econbiz.de/10010233305
Cover Image
An improved approach to evaluate default probabilities and default correlations with consistency
Li, Weiping; Krehbiel, Timothy L. - In: International journal of theoretical and applied finance 19 (2016) 5, pp. 1-29
Persistent link: https://www.econbiz.de/10011525108
Cover Image
Contagion effects and collateralized credit value adjustments for credit default swaps
Frey, Rüdiger; Rösler, Lars - In: International journal of theoretical and applied finance 17 (2014) 7, pp. 1-29
Persistent link: https://www.econbiz.de/10010498864
Cover Image
CoCo bonds pricing with credit and equity calibrated first-passage firm value models
Brigo, Damiano; Garcia, João; Pede, Nicola - In: International journal of theoretical and applied finance 18 (2015) 3, pp. 1-31
Persistent link: https://www.econbiz.de/10011403242
Cover Image
Partial information and hazard process
Jeanblanc, Monique; Valchev, Stoyan - In: International journal of theoretical and applied finance 8 (2005) 6, pp. 807-838
Persistent link: https://www.econbiz.de/10003133887
Cover Image
The forward PDE for European options on stocks with fixed fractional jumps
Carr, Peter; Javaheri, Alireza - In: International journal of theoretical and applied finance 8 (2005) 2, pp. 239-253
Persistent link: https://www.econbiz.de/10002679581
Cover Image
Defaultable debt pricing in multi-factor models
Lim, Kian-Guan; Chang, Shiwei; Tsui, Kai Chong - In: International journal of theoretical and applied finance 5 (2002) 8, pp. 823-844
Persistent link: https://www.econbiz.de/10001763190
Cover Image
Optimal portfolios with defaultable securities a firm value approach
Korn, Ralf; Kraft, Holger - In: International journal of theoretical and applied finance 6 (2003) 8, pp. 793-819
Persistent link: https://www.econbiz.de/10001862125
Cover Image
Defaultable bonds as Asian options
Buffet, Emmanuel - In: International journal of theoretical and applied finance 3 (2000) 3, pp. 571
Persistent link: https://www.econbiz.de/10001524455