Default correlation is the key point for the pricing of multi-name credit derivatives. In this paper, we apply copulas to characterize the dependence structure of defaults, determine the joint default distribution, and give the price for a specific kind of multi-name credit derivative —...

This paper studies arbitrage-free conditions for multiperiod asset pricing in frictional financial markets with proportional transaction costs. We consider the Euclidean space for weakly arbitrage-free security markets and Strongly arbitrage-free security markets, and establish the weakly...

This article surveys studies on universally balanced properties of cooperative games defined in a succinct form. In particular, we focus on combinatorial optimization games in which the values to coalitions are defined through linear optimization programs, possibly combinatorial, that is subject...