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