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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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Default times, no-arbitrage conditions and changes of probability measures
Coculescu, Delia; Jeanblanc, Monique; Nikeghbali, Ashkan - In: Finance and stochastics 16 (2012) 3, pp. 513-535
Persistent link: https://www.econbiz.de/10009562293
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Pricing, hedging, and designing derivatives with risk measures
Barrieu, Pauline; El Karoui, Nicole - In: Indifference pricing : theory and applications, (pp. 77-146). 2009
Persistent link: https://www.econbiz.de/10003807579
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Cash subadditive risk measures and interest rate ambiguity
El Karoui, Nicole; Ravanelli, Claudia - In: Mathematical finance : an international journal of … 19 (2009) 4, pp. 561-590
Persistent link: https://www.econbiz.de/10003937131
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Cash sub-additive risk measures and interest rate ambiguity
El Karoui, Nicole; Ravanelli, Claudia - 2008
A new class of risk measures called cash sub-additive risk measures is introduced to assess the risk of future financial, nonfinancial and insurance positions. The debated cash additive axiom is relaxed into the cash sub-additive axiom to preserve the original difference between the numeraire of...
Persistent link: https://www.econbiz.de/10003961489