A simulation environment for discontinuous portfolio value processes

Author:

Consigli Giorgio,Di Cesare Antonio

Publisher

Wiley

Subject

Management Science and Operations Research,General Business, Management and Accounting,Modeling and Simulation

Reference14 articles.

1. , . Modelling term structures of defaultable bonds. Working paper Graduate School of Business, Stanford University, CA-USA, 1997.

2. . Modelling bonds and derivatives with default risk. In Mathematics of Derivative Securities. , (eds). Cambridge University Press: Cambridge, 1997; 368-393.

3. . Constructing a credit curve. Risk Magazine (Credit Risk Special issue) November 1998, 40-44.

4. Martingale Analysis for Assets with Discontinuous Returns

5. OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS

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