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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
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An option-theoretic prepayment model for mortgages and mortgage-backed securities
Kalotay, Andrew J.; Yang, Deane; Fabozzi, Frank J. - In: International journal of theoretical and applied finance 7 (2004) 8, pp. 949-978
Persistent link: https://www.econbiz.de/10002476213
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Behavioral value adjustements
Bissiri, Matteo; Cogo, Riccardo - In: International journal of theoretical and applied finance 20 (2017) 8, pp. 1-37
Persistent link: https://www.econbiz.de/10011787404
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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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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
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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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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