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Search: subject:"Default times"
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Credit risk
5
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Theory
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Derivat
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Default times
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geometric Brownian motion
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initial and progressive enlargements of filtrations
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Archimedean copulas
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BSDE
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Collateral
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Counterparty risk
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Credit derivatives
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EU membership
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Marked default times
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Marshall-Olkin copula
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Jeanblanc, Monique
3
Gapeev, Pavel V.
2
Song, Shiqi
2
Crépey, Stéphane
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Ehrhardt, Matthias
1
Guo, Xin
1
Jarrow, Robert A.
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Larrard, Adrien de
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Li, Libo
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Mashele, Phillip
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Umeorah, Nneka
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Finance and stochastics
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International journal of theoretical and applied finance
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Journal of financial engineering
1
The journal of credit risk : published quarterly by Incisive Media
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ECONIS (ZBW)
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Elliptical and archimedean copula models : an application to the price estimation of portfolio credit derivatives
Umeorah, Nneka
;
Mashele, Phillip
;
Ehrhardt, Matthias
- In:
The journal of credit risk : published quarterly by …
17
(
2021
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10012519958
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2
First-to-default and second-to-default options in models with various information flows
Gapeev, Pavel V.
;
Jeanblanc, Monique
- In:
International journal of theoretical and applied finance
24
(
2021
)
4
,
pp. 1-29
Persistent link: https://www.econbiz.de/10012652666
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3
Credit default swaps in two-dimensional models with various informations flows
Gapeev, Pavel V.
;
Jeanblanc, Monique
- In:
International journal of theoretical and applied finance
23
(
2020
)
2
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012270908
Saved in:
4
An enlargement of filtration formula with applications to multiple non-ordered
default
times
Jeanblanc, Monique
;
Li, Libo
;
Song, Shiqi
- In:
Finance and stochastics
22
(
2018
)
1
,
pp. 205-240
Persistent link: https://www.econbiz.de/10011945652
Saved in:
5
Counterparty risk and funding : immersion and beyond
Crépey, Stéphane
;
Song, Shiqi
- In:
Finance and stochastics
20
(
2016
)
4
,
pp. 901-930
Persistent link: https://www.econbiz.de/10011569906
Saved in:
6
The economic default time and the arcsine law
Guo, Xin
;
Jarrow, Robert A.
;
Larrard, Adrien de
- In:
Journal of financial engineering
1
(
2014
)
3
,
pp. 1-18
Persistent link: https://www.econbiz.de/10010508010
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