A unified approach to pricing and risk management of equity and credit risk

Author:

Fontana Claudio,Montes Juan Miguel A.

Funder

Chaire Risque de Crédit

Fédération Bancaire Française

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference43 articles.

1. Pricing options on defaultable stocks;Bayraktar;Appl. Math. Finance,2008

2. Systematic equity-based credit risk: a CEV model with jump to default;Campi;J. Econom. Dynam. Control,2009

3. A jump to default extended CEV model: an application of Bessel processes;Carr;Finance Stoch.,2006

4. Local volatility enhanced by a jump to default;Carr;SIAM J. Financial Math.,2010

5. Hedging under the Heston model with jump-to-default;Carr;Int. J. Theor. Appl. Finance,2008

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3. Quantitative Methods in Economics and Finance;The First Outstanding 50 Years of “Università Politecnica delle Marche”;2019

4. Computing the survival probability in the Madan–Unal credit risk model: application to the CDS market;Quantitative Finance;2016-06-07

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