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Efficent pricing of barrier options and credit default swapts in Lévy models with stochastic interest rate
Bojarčenko, Svetlana I.; Levendorskij, Sergej Z. - In: Mathematical finance : an international journal of … 27 (2017) 4, pp. 1089-1123
Persistent link: https://www.econbiz.de/10011765022
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Multiple ratings model of defaultable term structure
Bielecki, Tomasz R.; Rutkowski, Marek - In: Mathematical finance : an international journal of … 10 (2000) 2, pp. 125-139
Persistent link: https://www.econbiz.de/10002177192
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Default risk and diversification : theory and empirical implications
Jarrow, Robert A.; Lando, David; Yu, Fan - In: Mathematical finance : an international journal of … 15 (2005) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10002582739
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Credit spreads, optimal capital structure, and implied volatility with endogenous default and jump risk
Chen, Nan; Kou, Steven - In: Mathematical finance : an international journal of … 19 (2009) 3, pp. 343-378
Persistent link: https://www.econbiz.de/10003882482
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Rating based Lévy Libor model
Eberlein, Ernst; Grbac, Zorana - In: Mathematical finance : an international journal of … 23 (2013) 4, pp. 591-626
Persistent link: https://www.econbiz.de/10010187684
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The defaultable Lévy term structure : ratings and restructuring
Eberlein, Ernst; Özkan, Fehmi - In: Mathematical finance : an international journal of … 13 (2003) 2, pp. 277-300
Persistent link: https://www.econbiz.de/10001765690