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Bielecki, Tomasz R.
7
Crépey, Stéphane
4
Pliska, Stanley R.
4
Rutkowski, Marek
4
Bielecki, Tomasz
2
Jeanblanc, Monique
2
Cousin, Areski
1
Douady, Raphaël
1
Herbertsson, Alexander
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Hernández-Hernández, Daniel
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Jin, Hanqing
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Kan, Yu Hang
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Rahal, Abdallah
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Mathematical finance : an international journal of mathematics, statistics and financial theory
3
Finance and stochastics
2
Risk : managing risk in the world's financial markets
2
The journal of credit risk : published quarterly by Incisive Media
2
Journal of economic dynamics & control
1
Mathematical methods of operations research
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Review of derivatives research
1
The journal of computational finance
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OLC EcoSci
ECONIS (ZBW)
89
RePEc
43
Other ZBW resources
3
EconStor
2
USB Cologne (EcoSocSci)
2
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1
DEFAULTABLE OPTIONS IN A MARKOVIAN INTENSITY MODEL OF CREDIT RISK
Bielecki, Tomasz R.
;
Crépey, Stéphane
;
Jeanblanc, Monique
- In:
Mathematical finance : an international journal of …
18
(
2008
)
4
,
pp. 493-518
Persistent link: https://www.econbiz.de/10008103933
Saved in:
2
Pricing synthetic CDO tranches in a model with default contagion using the matrix analytic approach
Herbertsson, Alexander
- In:
The journal of credit risk : published quarterly by …
4
(
2008/09
)
4
,
pp. 2-35
Persistent link: https://www.econbiz.de/10009932459
Saved in:
3
Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management
Bielecki, Tomasz
;
Hernández-Hernández, Daniel
; …
- In:
Mathematical methods of operations research
50
(
1999
)
2
,
pp. 167-188
Persistent link: https://www.econbiz.de/10006626467
Saved in:
4
TERM STRUCTURE OF CREDIT - HJM WITH MULTIPLIES
Bielecki, Tomasz
;
Rutkowski, Marek
- In:
Risk : managing risk in the world's financial markets
13
(
2000
)
4
,
pp. 95-98
Persistent link: https://www.econbiz.de/10007050994
Saved in:
5
Delta-hedging correlation risk?
Cousin, Areski
;
Crépey, Stéphane
;
Kan, Yu Hang
- In:
Review of derivatives research
15
(
2012
)
1
,
pp. 25-57
Persistent link: https://www.econbiz.de/10009843785
Saved in:
6
Interest rate risk - Lois: Credit and liquidity - The spread between Libor and overnight index swap rates used to be negligible — Until the crisis. Its behaviour since can be explained theoretically and empirically by a model driven by typical lenders'liquidity and typical borrowers' credit risk.
Crépey, Stéphane
;
Douady, Raphaël
- In:
Risk : managing risk in the world's financial markets
26
(
2013
)
6
,
pp. 78-83
Persistent link: https://www.econbiz.de/10010138260
Saved in:
7
Pricing convertible bonds with call protection
Crépey, Stéphane
;
Rahal, Abdallah
- In:
The journal of computational finance
15
(
2011
)
2
,
pp. 37-77
Persistent link: https://www.econbiz.de/10009816296
Saved in:
8
CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
Bielecki, Tomasz R.
;
Jin, Hanqing
;
Pliska, Stanley R.
; …
- In:
Mathematical finance : an international journal of …
15
(
2005
)
2
,
pp. 213-244
Persistent link: https://www.econbiz.de/10008214495
Saved in:
9
Risk sensitive asset management with transaction costs
Bielecki, Tomasz R.
;
Pliska, Stanley R.
- In:
Finance and stochastics
4
(
2000
)
1
,
pp. 1-34
Persistent link: https://www.econbiz.de/10008217592
Saved in:
10
Multiple Ratings Model of Defaultable Tenn Structure
Bielecki, Tomasz R.
;
Rutkowski, Marek
- In:
Mathematical finance : an international journal of …
10
(
2000
)
2
,
pp. 125-140
Persistent link: https://www.econbiz.de/10008217836
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