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Brownian excursions and Parisian barrier options

Chesney, Marc; Jeanblanc, Monique; Yor, Marc - 1996

Persistent link: https://www.econbiz.de/10000930703

Elliott, Robert J. R.; Jeanblanc, Monique; Yor, Marc - In: Mathematical finance : an international journal of … 10 (2000) 2, pp. 179-195

Persistent link: https://www.econbiz.de/10002177437

Mathematical methods for financial markets

Jeanblanc, Monique; Yor, Marc; Chesney, Marc - In: Finance : revue de l'Association Française de Finance 31 (2010) 1, pp. 81-85

Persistent link: https://www.econbiz.de/10008660582

Mathematical methods for financial markets

Jeanblanc, Monique; Yor, Marc; Chesney, Marc - 2009

Persistent link: https://www.econbiz.de/10003777520

On Models of Default Risk

Elliott, Robert J. - 2001

We first discuss some mathematical tools used to compute the intensity of a single jump process, in its canonical filtration. In the second part, we try to clarify the meaning of default and the links between the default time, the asset?s filtration, and the intensity of the default time. We...

Persistent link: https://www.econbiz.de/10012788019

Mathematical methods for financial markets

Jeanblanc, Monique; Yor, Marc; Chesney, Marc - 2009

Persistent link: https://www.econbiz.de/10004946341

Mathematical methods for financial markets

Jeanblanc, Monique; Yor, Marc; Chesney, Marc - In: Finance : revue de l'Association Française de Finance 31 (2010) 1, pp. 81-85

Persistent link: https://www.econbiz.de/10009918929