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Risk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion model
Le Courtois, Olivier; Quittard-Pinon, François - In: Asia-Pacific financial markets 13 (2006) 1, pp. 11-39
Persistent link: https://www.econbiz.de/10003496745
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Counting processes for retail default modeling
Kiefer, Nicholas Maximilian; Larson, C. Erik - In: The journal of credit risk : published quarterly by … 11 (2015) 3, pp. 45-72
Persistent link: https://www.econbiz.de/10011380103
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Defaultable term structures driven by semimartingales
Gümbel, Sandrine; Schmidt, Thorsten - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-27
Persistent link: https://www.econbiz.de/10012807871
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Optional defaultable markets
Abdelghani, Mohamed N.; Melʹnikov, Aleksandr V. - In: Risks : open access journal 5 (2017) 4, pp. 1-21
The paper deals with defaultable markets, one of the main research areas of mathematical finance. It proposes a new approach to the theory of such markets using techniques from the calculus of optional stochastic processes on unusual probability spaces, which was not presented before. The paper...
Persistent link: https://www.econbiz.de/10011783347
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A default contagion model for pricing defaultable bonds from an information based perspective
Nakagawa, Hidetoshi; Takada, Hideyuki - In: Quantitative finance 23 (2023) 1, pp. 169-185
Persistent link: https://www.econbiz.de/10013490963
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Opinion: beyond country risk : a comprehensive approach to address banks' vulnerabilities
De Felice, Gregorio - In: Journal of risk management in financial institutions 10 (2016/2017) 1, pp. 45-47
Persistent link: https://www.econbiz.de/10011670639
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Immersion property and credit risk modelling
Jeanblanc, Monique; Cam, Yann Le - In: Optimality and risk - modern trends in mathematical …, (pp. 99-131). 2009
Persistent link: https://www.econbiz.de/10003948445
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Valuation of vulnerable American options with correlated credit risk
Chang, Lung-fu; Hung, Mao-Wei - In: Review of derivatives research 9 (2006) 2, pp. 137-165
Persistent link: https://www.econbiz.de/10003608132
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Absolutely continuous compensators
Janson, Svante; M'Baye, Sokhna; Protter, Philip - In: International journal of theoretical and applied finance 14 (2011) 3, pp. 335-351
Persistent link: https://www.econbiz.de/10009154919
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Mathematical models for financial bubbles
Nedelcu, Sorin - 2014
thoroughly studied in the economic literature, a mathematical martingale theory of bubbles, based on an absence of arbitrage has … construct a flow in the space of equivalent martingale measures and we study the shifting perception of the fundamental value of … martingale measure used for pricing. In this way we are able to unify the classical martingale theory of bubbles with a …
Persistent link: https://www.econbiz.de/10010532745