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The market model of interest rate dynamics
Brace, Alan - In: Mathematical finance : an international journal of … 7 (1997) 2, pp. 127-155
Persistent link: https://www.econbiz.de/10001220280
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Efficent pricing of barrier options and credit default swapts in Lévy models with stochastic interest rate
Bojarčenko, Svetlana I.; Levendorskij, Sergej Z. - In: Mathematical finance : an international journal of … 27 (2017) 4, pp. 1089-1123
Persistent link: https://www.econbiz.de/10011765022
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Sensitivity analysis of nonlinear behavior with distorted probability
Cao, Xi-Ren; Wan, Xiangwei - In: Mathematical finance : an international journal of … 27 (2017) 1, pp. 115-150
Persistent link: https://www.econbiz.de/10011739450
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Portfolio selection problems via the bivariate characterization of stochastic dominance relations
Kijima, Masaaki - In: Mathematical finance : an international journal of … 6 (1996) 3, pp. 237-277
Persistent link: https://www.econbiz.de/10001208966
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Discontinuous asset prices and non-attainable contingent claims
Colwell, David B. - In: Mathematical finance : an international journal of … 3 (1993) 3, pp. 295-308
Persistent link: https://www.econbiz.de/10001184866
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Optimal investment strategies for controlling drawdowns
Grossman, Sanford J. - In: Mathematical finance : an international journal of … 3 (1993) 3, pp. 241-276
Persistent link: https://www.econbiz.de/10001184871
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Stable distributions, futures prices, and the measurement of trading performance
Cornew, Ronald W. - In: The journal of futures markets 4 (1984) 4, pp. 531-557
Persistent link: https://www.econbiz.de/10001082393
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A note on the quantile formulation
Xu, Zuo Quan - In: Mathematical finance : an international journal of … 26 (2016) 3, pp. 589-601
Persistent link: https://www.econbiz.de/10011583612
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Expectations of functions of stochastic time with application to credit risk modeling
Costin, Ovidiu; Gordy, Michael B.; Huang, Min; … - In: Mathematical finance : an international journal of … 26 (2016) 4, pp. 748-784
Persistent link: https://www.econbiz.de/10011583796
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Background filtrations and canonical loss processes for top-down models of portfolio credit risk
Ehlers, Philippe (contributor);  … - 2007
In single-obligor default risk modelling, using a background filtration in conjunction with a suitable embedding hypothesis (generally known as H-hypothesis or immersion property) has proven a very successful tool to separate the actual default event from the model for the default arrival...
Persistent link: https://www.econbiz.de/10003549840