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1
Equilibrium preference free pricing of derivatives under the generalized beta distributions
Ikeda, Masayuki
- In:
Review of derivatives research
13
(
2010
)
3
,
pp. 297-332
Persistent link: https://www.econbiz.de/10008695881
Saved in:
2
On correlation and default clustering in credit markets
Berndt, Antje
;
Ritchken, Peter H.
;
Sun, Zhiqiang
- In:
The review of financial studies
23
(
2010
)
7
,
pp. 2680-2729
Persistent link: https://www.econbiz.de/10003992037
Saved in:
3
Pricing credit derivatives under incomplete information : a nonlinear-filtering approach
Frey, Rüdiger
;
Runggaldier, Wolfgang J.
- In:
Finance and stochastics
14
(
2010
)
4
,
pp. 495-526
Persistent link: https://www.econbiz.de/10008823701
Saved in:
4
Pricing and modeling credit derivatives
Akat, Muzaffer
;
Almeida, Caio
;
Papanicolaou, George
- In:
Brazilian review of econometrics : the review of the …
27
(
2007
)
1
,
pp. 107-129
Persistent link: https://www.econbiz.de/10003591179
Saved in:
5
PDE approach to the valuation and hedging of basket credit derivatives
Rutkowski, Marek
;
Yousiph, Khan
- In:
International journal of theoretical and applied finance
10
(
2007
)
8
,
pp. 1261-1285
Persistent link: https://www.econbiz.de/10003632076
Saved in:
6
Survivor derivatives : a consistent pricing framework
Dawson, Paul
;
Dowd, Kevin
;
Cairns, Andrew
;
Blake, David
- In:
The journal of risk and insurance : the journal of the …
77
(
2010
)
3
,
pp. 579-596
Persistent link: https://www.econbiz.de/10008650419
Saved in:
7
Pricing of CDOs based on the multivariate Wang transform
Kijima, Masaaki
;
Motomiya, Shin-ichi
;
Suzuki, Yoichi
- In:
Journal of economic dynamics & control
34
(
2010
)
11
,
pp. 2259-2272
Persistent link: https://www.econbiz.de/10009008889
Saved in:
8
BSLP: Markovian bivariate spread-loss model for portfolio credit derivatives
Arnsdorf, Matthias
;
Halperin, Igor
- In:
The journal of computational finance
12
(
2008/09
)
2
,
pp. 77-107
Persistent link: https://www.econbiz.de/10009534630
Saved in:
9
Gaussian and Poisson approximation : applications to CDOs tranche pricing
El Karoui, Nicole
;
Jiao, Ying
;
Kurtz, David
- In:
The journal of computational finance
12
(
2008/09
)
2
,
pp. 31-58
Persistent link: https://www.econbiz.de/10009534632
Saved in:
10
Efficient
derivative
pricing by the extended method of moments
Gagliardini, Patrick
;
Gouriéroux, Christian
;
Renault, Eric
- In:
Econometrica : journal of the Econometric Society, an …
79
(
2011
)
4
,
pp. 1181-1232
Persistent link: https://www.econbiz.de/10009267024
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