What happens after a default: The conditional density approach-Reference-Cited by-同舟云学术

What happens after a default: The conditional density approach

Published:2010-07 Issue:7 Volume:120 Page:1011-1032
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

El Karoui Nicole,Jeanblanc Monique,Jiao Ying

Publisher

Elsevier BV

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

Reference19 articles.

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3. T.R. Bielecki, M. Jeanblanc, M. Rutkowski, Credit risk, AMAMEF Side/Antalya, 2006.

4. Changes of filtrations and of probability measures;Brémaud;Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete,1981

5. Entropy and information in the interest rate term structure;Brody;Quantitative Finance,2002

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