‘Finem Lauda’ or the risks in swaps-Reference-Cited by-同舟云学术

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‘Finem Lauda’ or the risks in swaps

Published:1990-12 Issue:4 Volume:9 Page:295-303
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Artzner Philippe,Delbaen Freddy

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference14 articles.

1. Interest rate swaps: An alternative explanation;Arak;Financial Management,1988

2. Term structure of interest rates: The martingale approach;Artzner;Advances in Applied Mathematics,1989

3. An economic analysis of interest rate swaps;Bicksler;Journal of Finance,1986

4. Actuarial Mathematics;Bowers,1986

5. Great Expectations: The Theory of Optimal Stopping;Chow,1971

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1. The Regime-Switching Structural Default Risk Model;Risks;2024-03-04

2. AN ANALYTICAL APPROXIMATION FORMULA FOR THE PRICING OF CREDIT DEFAULT SWAPS WITH REGIME SWITCHING;The ANZIAM Journal;2021-04

3. Analytically Pricing Credit Default Swaps Under a Regime-Switching Model;Fluctuation and Noise Letters;2019-07-16

4. A Monte-Carlo based approach for pricing credit default swaps with regime switching;Computers & Mathematics with Applications;2018-10

5. EXTREMAL DEPENDENCE FOR BILATERAL CREDIT VALUATION ADJUSTMENTS;International Journal of Theoretical and Applied Finance;2016-11

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