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AN EXTENSION OF THE BRODY–HUGHSTON–MACRINA APPROACH TO MODELING OF DEFAULTABLE BONDS
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What this work says
Outgoing claims: the papers this work cites, builds on, or argues with.
inferredcites →https://doi.org/10.1007/978-1-4612-0949-2openalex-snapshot
Brownian Motion and Stochastic Calculus
inferredcites →https://doi.org/10.1007/b137866openalex-snapshot
Martingale Methods in Financial Modelling
What points at this work
Incoming claims: where this work appears in other papers’ reference lists and arguments.
inferred← citeshttps://doi.org/10.2139/ssrn.1702871openalex-extracted
Conditional Density Models for Asset Pricing
inferred← citeshttps://doi.org/10.2139/ssrn.3024535openalex-extracted
Modulated Information Flows in Financial Markets
inferred← citeshttps://doi.org/10.1007/978-3-319-57147-8_2openalex-snapshot
The Signal-Based Framework
inferred← citeshttps://doi.org/10.1007/978-3-642-15358-7_13openalex-snapshot
Credit Risk, Market Sentiment and Randomly-Timed Default
inferred← citeshttps://doi.org/10.1007/978-3-642-18412-3_5openalex-snapshot
Modelling Information Flows in Financial Markets
inferred← citeshttps://doi.org/10.1007/s10690-025-09569-9openalex-snapshot
Dynamics of Market Spread of First-to-Default Swap in an Information-Based Approach
inferred← citeshttps://doi.org/10.1016/j.sciaf.2020.e00564openalex-snapshot
Multi-asset option pricing using an information-based model
inferred← citeshttps://doi.org/10.1016/j.spa.2010.12.003openalex-snapshot
Lévy random bridges and the modelling of financial information
inferred← citeshttps://doi.org/10.1017/jpr.2024.51openalex-snapshot
The impact of pinning points on memorylessness in Lévy random bridges
inferred← citeshttps://doi.org/10.1080/1350486x.2011.631757openalex-snapshot
Pricing Fixed-Income Securities in an Information-Based Framework
inferred← citeshttps://doi.org/10.1080/1350486x.2015.1050151openalex-snapshot
Pricing of Defaultable Bonds with Random Information Flow
inferred← citeshttps://doi.org/10.1080/14697688.2022.2138776openalex-snapshot
A default contagion model for pricing defaultable bonds from an information based perspective
inferred← citeshttps://doi.org/10.1098/rspa.2012.0433openalex-snapshot
Signal processing with Lévy information
inferred← citeshttps://doi.org/10.1098/rspa.2013.0024openalex-snapshot
Lévy information and the aggregation of risk aversion
inferred← citeshttps://doi.org/10.1142/9789811246494_0015openalex-snapshot
MODULATED INFORMATION FLOWS IN FINANCIAL MARKETS
inferred← citeshttps://doi.org/10.1142/9789811246494_0016openalex-snapshot
Pricing with Variance Gamma Information
inferred← citeshttps://doi.org/10.1142/9789814304078_0006openalex-snapshot
Security Pricing with Information-Sensitive Discounting
inferred← citeshttps://doi.org/10.1142/9789814407892_0009openalex-snapshot
CONDITIONAL DENSITY MODELS FOR ASSET PRICING
inferred← citeshttps://doi.org/10.1142/s0219024908004749openalex-snapshot
INFORMATION-BASED ASSET PRICING
inferred← citeshttps://doi.org/10.1142/s0219024911006553openalex-snapshot
HEAT KERNEL INTEREST RATE MODELS WITH TIME-INHOMOGENEOUS MARKOV PROCESSES
inferred← citeshttps://doi.org/10.15626/lud.468.2022openalex-snapshot
Bridges with Random Length and Pinning Point for Modelling the Financial Information
inferred← citeshttps://doi.org/10.4236/jmf.2019.94037openalex-snapshot
Price Dynamics under the Information-Based Dealer Model
inferred← citeshttps://doi.org/10.4236/jmf.2023.131006openalex-snapshot
Numerical Approximation of Information-Based Model Equation for Bermudan Option with Variable Transaction Costs
inferred← citeshttps://doi.org/10.70675/c62d2f45z0efdz4703z80a9z6a3a9ec43c09openalex-snapshot
Le risque de crédit et les produits dérivés de crédit : modélisation mathématique et numérique
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