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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
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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
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An extension of the Brody-Hughston-Macrina approach to modeling of defaultable bonds
Rutkowski, Marek; Yu, Nannan - In: International journal of theoretical and applied finance 10 (2007) 3, pp. 557-589
Persistent link: https://www.econbiz.de/10003463472
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Local risk minimization of contingent claims simultaneously exposed to endogenous and exogenous default times
Okhrati, Ramin; Karpathopoulos, Nikolaos - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-41
Persistent link: https://www.econbiz.de/10012807897
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Recursive Bayesian estimation in forward price models implied by fair pricing
El Qalli, Yassine - In: International journal of theoretical and applied finance 13 (2010) 2, pp. 301-333
Persistent link: https://www.econbiz.de/10008860389
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The CARMA interest rate model
Andresen, Arne; Benth, Fred Espen; Koekebakker, Steen; … - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-27
Persistent link: https://www.econbiz.de/10010363925
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A unified market model for swaptions and constant maturity swaps
Tee, Chyng Wen; Kerkhof, Franciscus Lambertus Johannes - In: International journal of theoretical and applied finance 24 (2021) 4, pp. 1-31
Persistent link: https://www.econbiz.de/10012652680
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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
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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
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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