ARBITRAGE-FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS.
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- Mathematical Finance, 2014, v. 24, n. 1, p. 125, doi. 10.1111/j.1467-9965.2012.00520.x
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- Publication type:
- Article
Works matching IS 09601627 AND DT 2014 AND VI 24 AND IP 1
Results: 8
1
2
GAME CALL OPTIONS REVISITED.
- Published in:
- Mathematical Finance, 2014, v. 24, n. 1, p. 173, doi. 10.1111/mafi.12000
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- Article
3
A METHOD FOR PRICING AMERICAN OPTIONS USING SEMI-INFINITE LINEAR PROGRAMMING.
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- Mathematical Finance, 2014, v. 24, n. 1, p. 156, doi. 10.1111/j.1467-9965.2012.00523.x
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- Publication type:
- Article
4
TIME-CONSISTENT AND MARKET-CONSISTENT EVALUATIONS.
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- Mathematical Finance, 2014, v. 24, n. 1, p. 25, doi. 10.1111/mafi.12026
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- Publication type:
- Article
5
MEAN-VARIANCE PORTFOLIO OPTIMIZATION WITH STATE-DEPENDENT RISK AVERSION.
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- Mathematical Finance, 2014, v. 24, n. 1, p. 1, doi. 10.1111/j.1467-9965.2011.00515.x
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- Publication type:
- Article
6
NO-ARBITRAGE PRICING UNDER SYSTEMIC RISK: ACCOUNTING FOR CROSS-OWNERSHIP.
- Published in:
- Mathematical Finance, 2014, v. 24, n. 1, p. 97, doi. 10.1111/j.1467-9965.2012.00526.x
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- Publication type:
- Article
7
ON THE LOWER ARBITRAGE BOUND OF AMERICAN CONTINGENT CLAIMS.
- Published in:
- Mathematical Finance, 2014, v. 24, n. 1, p. 147, doi. 10.1111/j.1467-9965.2012.00519.x
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- Publication type:
- Article
8
RETHINKING DYNAMIC CAPITAL STRUCTURE MODELS WITH ROLL-OVER DEBT.
- Published in:
- Mathematical Finance, 2014, v. 24, n. 1, p. 66, doi. 10.1111/j.1467-9965.2012.00532.x
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- Publication type:
- Article