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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
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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
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Options, futures, and other derivatives
Hull, John - 2009 - 7. ed., internat. ed.
Persistent link: https://www.econbiz.de/10003607662
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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
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Credit derivatives : instruments, applications and pricing methods
Lautscham, Volkmar - 2007
Persistent link: https://www.econbiz.de/10003533088
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Recent advances in financial engineering 2009 : proceedings of the KIER-TMU International Workshop on Financial Engineering 2009
Kijima, Masaaki (contributor) - 2010
Persistent link: https://www.econbiz.de/10003981989
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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
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Efficient derivative pricing by extended method of moments
Gagliardini, Patrick; Gouriéroux, Christian; Renault, Eric - 2004
Persistent link: https://www.econbiz.de/10002597912
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Derivative pricing with multivariate stochastic volatility : application to credit risk
Gouriéroux, Christian; Sufana, Razvan - 2004
Persistent link: https://www.econbiz.de/10002597934
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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