Free Access
Volume 11, February 2007
Special Issue: "Stochastic analysis and mathematical finance" in honor of Nicole El Karoui's 60th birthday
Page(s) 23 - 34
Published online 01 March 2007
  1. L. Andersen and J. Sidenius, Extensions to the Gaussian copula: random recovery and random factor loadings. J. Credit Risk 1 (2004) 29–70.
  2. T. Bielecki and M. Jeanblanc, Pricing and Hedging of credit risk: replication and mean-variance approaches. Working paper (2003).
  3. B. Dupire, Pricing with a smile. Risk 7 (1994) 18–20.
  4. N. El Karoui, M. Jeanblanc-Picqué and S.E. Shreve, Robustness of the Black and Scholes formula. Math. Fin. 8 (1998) 93–126. [CrossRef]
  5. M. Jeanblanc and M. Rutkowski, Hedging of credit derivatives within the reduced-form framework. Working paper (2003).
  6. D. Lando, On Cox processes and credit-risky securities. Rev. Derivatives Res. 2 (1998) 99–120.
  7. P. Schönbucher and D. Schubert, Copula-dependent default risk in intensity models. ETH Zurich, working paper (2001).

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