Narrow search
Showing 1 - 10 of 1,200
Cover Image
A general framework for time-changed Markov processes and applications
Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy - In: European journal of operational research : EJOR 273 (2019) 2, pp. 785-800
Persistent link: https://www.econbiz.de/10011987591
Cover Image
Prepayment option of a perpetual corporate loan : the impact of the funding costs
Papin, Timothee; Turinici, Gabriel - In: International journal of theoretical and applied finance 17 (2014) 4, pp. 1-32
Persistent link: https://www.econbiz.de/10010391495
Cover Image
Vulnerable options with regime switching and stochastic liquidity
He, Xin-Jiang; Pasricha, Puneet; Lu, Tuantuan; Lin, Sha - In: The quarterly review of economics and finance 98 (2024), pp. 1-11
Persistent link: https://www.econbiz.de/10015188648
Cover Image
Default probability estimation via pair copula constructions
Dalla Valle, Luciana; De Giuli, Maria Elena; Tarantola, … - In: European journal of operational research : EJOR 249 (2016) 1, pp. 298-311
Persistent link: https://www.econbiz.de/10011435851
Cover Image
A robust method to retrieve option implied risk neutral densities for defaultable assets
Leduc, Guillaume; Orosi, Greg - In: International journal of financial markets and derivatives 5 (2016) 2/4, pp. 212-224
Persistent link: https://www.econbiz.de/10011742316
Cover Image
On the pricing of vulnerable Parisian options
Liu, Zheng; Li, Dongchen; Qian, Linyi; Yao, Jing - In: Finance research letters 68 (2024), pp. 1-12
Persistent link: https://www.econbiz.de/10015063624
Cover Image
A closed-form extension to the Black-Cox model
Alfonsi, Aurélien; Lelong, Jérõme - In: International journal of theoretical and applied finance 15 (2012) 8, pp. 1-30
Persistent link: https://www.econbiz.de/10009706338
Cover Image
Rating migrations
Höse, Steffi; Huschens, Stefan; Wania, Robert - In: Applied quantitative finance : theory and computational …, (pp. 87-110). 2002
Persistent link: https://www.econbiz.de/10001749976
Cover Image
A nonlinear inversion procedure for modeling the effects of economic factors on credit risk migration
Stokes, Jeffrey R. - In: Review of quantitative finance and accounting 61 (2023) 3, pp. 855-878
Persistent link: https://www.econbiz.de/10014342115
Cover Image
Discrete time non-homogeneous semi-markov reliability transition credit risk models and the default distribution functions
D'Amico, Guglielmo; Janssen, Jacques; Manca, Raimondo - In: Computational economics 38 (2011) 4, pp. 465-481
Persistent link: https://www.econbiz.de/10009356876