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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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The impact of stock returns volatility on credit default swap rates: A copula study
Abid, Fathi; Naifar, Nader - In: International journal of theoretical and applied finance 8 (2005) 8, pp. 1135-1155
Persistent link: https://www.econbiz.de/10003280048
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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
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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
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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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Corporate bond risk from stock dividend uncertainty
Wise, Mark B.; Lee, Peter B.; Bhansali, Vineer - In: International journal of theoretical and applied finance 7 (2004) 6, pp. 741-755
Persistent link: https://www.econbiz.de/10002200671
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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
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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
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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