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From Markovian to partially observable models
Carmona, René - In: Indifference pricing : theory and applications, (pp. 147-180). 2009
Persistent link: https://www.econbiz.de/10003807582
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Applications to weather derivatives and energy contracts
Carmona, René - In: Indifference pricing : theory and applications, (pp. 241-264). 2009
Persistent link: https://www.econbiz.de/10003807590
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An introduction to particle methods with financial applications
Carmona, René; Del Moral, Pierre; Peng Hu; Oudjane, Nadia - In: Numerical methods in finance : Bordeaux, June 2010, (pp. 3-49). 2012
Persistent link: https://www.econbiz.de/10009577199
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A bottom-up dynamic model of portfolio credit risk : part II ; common-shock interpretation, calibration and hedging issues
Bielecki, Tomasz R.; Cousin, Areski; Crépey, Stéphane; … - In: Recent advances in financial engineering 2012 : …, (pp. 51-73). 2014
Persistent link: https://www.econbiz.de/10010359906
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A bottom-up dynamic model of portfolio credit risk : part I ; Markov copula perspective
Bielecki, Tomasz R.; Cousin, Areski; Crépey, Stéphane; … - In: Recent advances in financial engineering 2012 : …, (pp. 25-49). 2014
Persistent link: https://www.econbiz.de/10010359909
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Valuation of basket credit derivatives in the credit migrations environment
Bielecki, Tomasz R.; Crépey, Stéphane; Jeanblanc, Monique - In: Financial engineering, (pp. 471-507). 2008
Persistent link: https://www.econbiz.de/10003567710
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Markov Chain Models of Portfolio Credit Risk
Bielelcki, Tomasz R.; Crépey, Stéphane; Herbertsson, … - In: The Oxford handbook of credit derivatives. 2012
Persistent link: https://www.econbiz.de/10012882005
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Markov chain models of portfolio credit risk
Bielecki, Tomasz R. - In: The Oxford handbook of credit derivatives, (pp. 327-382). 2011
Persistent link: https://www.econbiz.de/10014565537