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Intensity process and compensator: A new filtration expansion approach and the Jeulin–Yor theorem
16 references·0 citing·39 second hop
Intensity process and compensator: A new filtration expansion approach and the Jeulin–Yor theorem (2008)Intensity process and compensator: A new …MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL (2009)MODELING THE RECOVERY RATE IN…Credit Risk Models with Incomplete Information (2009)Credit Risk Models with Incom…The Shannon information of filtrations and the additional logarithmic utility of insiders (2006)The Shannon information of fi…Default and information (2005)Default and informationMODELING CREDIT RISK WITH PARTIAL INFORMATION (2004)MODELING CREDIT RISK WITH PAR…Additional utility of insiders with imperfect dynamical information (2004)Additional utility of insider…A GENERAL FRAMEWORK FOR PRICING CREDIT RISK (2004)A GENERAL FRAMEWORK FOR PRICI…Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches (2003)Malliavin's Calculus in Insid…Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Term Structures of Credit Spr…On Models of Default Risk (2000)On Models of Default RiskContinuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…On cox processes and credit risky securities (1998)On cox processes and credit r…Additional logarithmic utility of an insider (1998)Additional logarithmic utilit…Recursive valuation of defaultable securities and the timing of resolution of uncertainty (1996)Recursive valuation of defaul…Point Processes and Queues (1981)Point Processes and QueuesGrossissement d’une filtration et semi-martingales : Formules explicites (1978)Grossissement d’une filtratio…The Pricing of Options and Corporate Liabilities (1973)Martingales and arbitrage in multiperiod securities markets (1979)Continuous‐Time Methods in Finance: A Review and an Assessment (2000)Stochastic Integration and Differential Equations (2005)A jump to default extended CEV model: an application of Bessel processes (2006)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Pricing the risks of default (1998)A General Formula for Valuing Defaultable Securities (2004)BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA (2012)Calcul Stochastique et Problèmes de Martingales (1979)Martingale and Duality Methods for Utility Maximization in an Incomplete Market (1991)On the minimal martingale measure and the möllmer-schweizer decomposition (1995)Martingale representation theorems for initially enlarged filtrations (2000)A monetary value for initial information in portfolio optimization (2003)A General Stochastic Calculus Approach to Insider Trading (2005)Affine processes and applications in finance (2003)Credit Risk: Modeling, Valuation and Hedging (2004)Brownian Motion and Stochastic Calculus (2007)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)Structural Models of Corporate Bond Pricing: An Empirical Analysis (2004)Corporate bond liquidity before and after the onset of the subprime crisis (2011)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)Stochastic Integration and Differential Equations (1990)A Top-Down Approach to Multi-Name Credit (2005)INFORMATION-BASED ASSET PRICING (2008)Economic Uncertainty, Disagreement, and Credit Markets (2013)Study of a filtration expanded to include an honest time (1978)Un Cours sur les Intégrales Stochastiques (2002)Valuation of default-sensitive claims under imperfect information (2008)Progressive enlargement of filtrations with initial times (2009)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)Credit Risk Modeling and Valuation: An Introduction (2003)Liquidity or Credit Risk? The Determinants of Very Short‐Term Corporate Yield Spreads (2007)CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK (2009)
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References

  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 1981Point Processes and Queues1,652 cited
  • 2001Term Structures of Credit Spreads with Incomplete Accounting Information1,321 cited
  • 1998On cox processes and credit risky securities1,213 cited
  • 2000On Models of Default Risk238 cited
  • 1996Recursive valuation of defaultable securities and the timing of resolution of uncertainty232 cited
  • 2005Default and information195 cited
  • 1998Additional logarithmic utility of an insider171 cited
  • 2004MODELING CREDIT RISK WITH PARTIAL INFORMATION144 cited
  • 1978Grossissement d’une filtration et semi-martingales : Formules explicites110 cited
  • 2004A GENERAL FRAMEWORK FOR PRICING CREDIT RISK84 cited
  • 2006The Shannon information of filtrations and the additional logarithmic utility of insiders72 cited
  • 2004Additional utility of insiders with imperfect dynamical information69 cited
  • 2003Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches66 cited
  • 2009Credit Risk Models with Incomplete Information61 cited
  • 2009MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL

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