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Immersion Property and Credit Risk Modelling · Study

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ChapterImmersion Property and Credit Risk Modelling

Monique Jeanblanc2009

Chapter2009

Immersion Property and Credit Risk Modelling

Monique Jeanblanc

49 citations·0/0 files stored·Springer eBooks

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Credit Risk and Financial Regulations

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References

1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1999Continuous Martingales and Brownian Motion 2005Stochastic Integration and Differential Equations 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates 2003Limit Theorems for Stochastic Processes 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)

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2015Martingale representation property in progressively enlarged filtrations 2011Carthaginian enlargement of filtrations 2011Local Risk-Minimization for Defaultable Claims with Recovery Process

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Year2009

Typechapter

Published2009-01-01

VenueSpringer eBooks

Languageen

Citations49

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-3-642-02608-9_6

openalex_workW2085897656

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