6 results
Variational inequalities arising from credit rating migration with buffer zone
- Part of
-
- Journal:
- European Journal of Applied Mathematics , First View
- Published online by Cambridge University Press:
- 14 December 2023, pp. 1-18
-
- Article
-
- You have access
- Open access
- HTML
- Export citation
Mathematical analysis of a credit default swap with counterparty risks
- Part of
-
- Journal:
- European Journal of Applied Mathematics / Volume 31 / Issue 5 / October 2020
- Published online by Cambridge University Press:
- 09 September 2019, pp. 737-762
-
- Article
- Export citation
Successive enlargement of filtrations and application to insider information
- Part of
-
- Journal:
- Advances in Applied Probability / Volume 49 / Issue 3 / September 2017
- Published online by Cambridge University Press:
- 08 September 2017, pp. 653-685
- Print publication:
- September 2017
-
- Article
- Export citation
Continuous affine processes: transformations, Markov chains and life insurance
- Part of
-
- Journal:
- Advances in Applied Probability / Volume 48 / Issue 2 / June 2016
- Published online by Cambridge University Press:
- 10 June 2016, pp. 423-442
- Print publication:
- June 2016
-
- Article
- Export citation
Conditional Characteristic Functions of Molchan-Golosov Fractional Lévy Processes with Application to Credit Risk
- Part of
-
- Journal:
- Journal of Applied Probability / Volume 50 / Issue 4 / December 2013
- Published online by Cambridge University Press:
- 30 January 2018, pp. 983-1005
- Print publication:
- December 2013
-
- Article
-
- You have access
- Export citation
A dynamic contagion process
- Part of
-
- Journal:
- Advances in Applied Probability / Volume 43 / Issue 3 / September 2011
- Published online by Cambridge University Press:
- 01 July 2016, pp. 814-846
- Print publication:
- September 2011
-
- Article
-
- You have access
- Export citation