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A General Framework For Pricing Credit Risk

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  • 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
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    Cited by:

    1. Frank Gehmlich & Thorsten Schmidt, 2014. "Dynamic Defaultable Term Structure Modelling beyond the Intensity Paradigm," Papers 1411.4851, arXiv.org, revised Dec 2014.
    2. 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.
    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 Feb 2015.
    4. 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.

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