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A General Framework For Pricing Credit Risk

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Listed author(s):
  • Alain BÉlanger
  • Steven E. Shreve
  • Dennis Wong
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    File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.0960-1627.2004.t01-1-00193.x
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    Article provided by Wiley Blackwell in its journal Mathematical Finance.

    Volume (Year): 14 (2004)
    Issue (Month): 3 ()
    Pages: 317-350

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    Handle: RePEc:bla:mathfi:v:14:y:2004:i:3:p:317-350
    Contact details of provider: Web page: http://www.blackwellpublishing.com/journal.asp?ref=0960-1627

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    Cited by:

    1. Agostino Capponi & José Figueroa-López & Andrea Pascucci, 2015. "Dynamic credit investment in partially observed markets," Finance and Stochastics, Springer, vol. 19(4), pages 891-939, October.
    2. Lijun Bo & Agostino Capponi, 2014. "Bilateral credit valuation adjustment for large credit derivatives portfolios," Finance and Stochastics, Springer, vol. 18(2), pages 431-482, April.
    3. Maxim Bichuch & Agostino Capponi & Stephan Sturm, 2015. "Arbitrage-Free Pricing of XVA -- Part I: Framework and Explicit Examples," Papers 1501.05893, arXiv.org, revised Aug 2016.
    4. Agostino Capponi & Lijun Bo, 2016. "Robust Optimization of Credit Portfolios," Papers 1603.08169, arXiv.org.
    5. Frank Gehmlich & Thorsten Schmidt, 2015. "A generalized intensity based framework for single-name credit risk," Papers 1512.03896, arXiv.org.
    6. Claudio Fontana & Thorsten Schmidt, 2016. "General dynamic term structures under default risk," Papers 1603.03198, arXiv.org, revised Apr 2017.
    7. Maxim Bichuch & Agostino Capponi & Stephan Sturm, 2016. "Arbitrage-Free XVA," Papers 1608.02690, arXiv.org.
    8. Frank Gehmlich & Thorsten Schmidt, 2014. "Dynamic Defaultable Term Structure Modelling beyond the Intensity Paradigm," Papers 1411.4851, arXiv.org, revised Jul 2015.
    9. Agostino Capponi & Stefano Pagliarani & Tiziano Vargiolu, 2014. "Pricing vulnerable claims in a Lévy-driven model," Finance and Stochastics, Springer, vol. 18(4), pages 755-789, October.

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