Abdelghani, Mohamed N.; Melʹnikov, Aleksandr V. - In: Risks : open access journal 5 (2017) 4, pp. 1-21
on modeling of defaultable markets, pricing and hedging of defaultable claims and results on the probability of default … under such conditions. Moreover, several important examples are presented: a new pricing formula for a defaultable bond and … a new pricing formula for credit default swap. Furthermore, some results on the absence of arbitrage for markets on …