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Convertible Bonds in a Defaultable Diffusion Model · Study

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ChapterConvertible Bonds in a Defaultable Diffusion Model

Tomasz R. Bielecki2011

Chapter2011

Convertible Bonds in a Defaultable Diffusion Model

Tomasz R. Bielecki · Stéphane Crépey · Monique Jeanblanc · Marek Rutkowski

26 citations·0/0 files stored·Progress in probability

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Stochastic processes and financial applications Credit Risk and Financial Regulations Risk and Portfolio Optimization

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References

2001Valuing American Options by Simulation: A Simple Least-Squares Approach 2005Controlled Markov Processes and Viscosity Solutions 1999Modeling Term Structures of Defaultable Bonds 2003Limit Theorems for Stochastic Processes 1997Backward Stochastic Differential Equations in Finance 1998Arbitrage Theory in Continuous Time 2004Credit Risk: Modeling, Valuation and Hedging 2005Backward stochastic differential equations and quasilinear parabolic partial differential equations

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Year2011

Typechapter

Published2011-01-01

VenueProgress in probability

ISSN-L1050-6977

Languageen

Citations26

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-3-0348-0097-6_16

openalex_workW149123976

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