Quantitative Finance, Volume 11, Issue 12 (2011)

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Quantitative Finance, Volume 11, Issue 12 (2011)

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Themed Issue on Credit Modelling

Feature

Article
On the conditional default probability in a regulated market: a structural approach
Lijun Bo, Dan Tang, Yongjin Wang & Xuewei Yang
Pages: 1695-1702
Published online: 11 May 2010
First Page PreviewforOn the conditional default probability in a regulated market: a structural approach | Full Text | References | PDF (328.9 KB)
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Book Review

Book Review
Lectures on Financial Mathematics: Discrete Asset Pricing, by G. Anderson and A. Kercheval
Philip Protter
Pages: 1703-1705
Published online: 09 Nov 2011
First Page PreviewforLectures on Financial Mathematics: Discrete Asset Pricing, by G. Anderson and A. Kercheval | Full Text | References | PDF (195.1 KB)
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Free Access

Calendar

Calendar
Calendar
Page: 1707
Published online: 09 Nov 2011
CitationforCalendar | PDF (620.1 KB)
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Research Papers

Article
Predicting credit default swap prices with financial and pure data-driven approaches
Yalin Gündüz & Marliese Uhrig-Homburg
Pages: 1709-1727
Published online: 22 Mar 2011
AbstractforPredicting credit default swap prices with financial and pure data-driven approaches | Full Text | References | PDF (301.9 KB)
  • 1287 Views
  • 10 CrossRef citations
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Article
Flexing the default barrier
Gregor Dorfleitner, Paul Schneider & Tanja Veža
Pages: 1729-1743
Published online: 19 Oct 2010
AbstractforFlexing the default barrier | Full Text | References | PDF (553.1 KB)
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Article
Calibrating structural models: a new methodology based on stock and credit default swap data
Santiago Forte
Pages: 1745-1759
Published online: 09 Nov 2011
AbstractforCalibrating structural models: a new methodology based on stock and credit default swap data | Full Text | References | PDF (755 KB)
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Article
Pricing collateralized debt obligations with Markov-modulated Poisson processes
Hideyuki Takada, Ushio Sumita & Kazuki Takahashi
Pages: 1761-1771
Published online: 15 Apr 2011
AbstractforPricing collateralized debt obligations with Markov-modulated Poisson processes | Full Text | References | PDF (378.4 KB)
  • 342 Views
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Article
Hedging default risks of CDOs in Markovian contagion models
J.-P. Laurent, A. Cousin & J.-D. Fermanian
Pages: 1773-1791
Published online: 04 May 2010
AbstractforHedging default risks of CDOs in Markovian contagion models | Full Text | References | PDF (529.1 KB)
  • 560 Views
  • 28 CrossRef citations
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Article
The kth default time distribution and basket default swap pricing
Geon Ho Choe & Hyun Jin Jang
Pages: 1793-1801
Published online: 21 Oct 2010
AbstractforThe kth default time distribution and basket default swap pricing | Full Text | References | PDF (239.4 KB)
  • 566 Views
  • 4 CrossRef citations
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Article
Incorporating multi-dimensional tail dependencies in the valuation of credit derivatives
Noel McWilliam, Kar-Wei Loh & Huan Huang
Pages: 1803-1814
Published online: 15 Apr 2011
AbstractforIncorporating multi-dimensional tail dependencies in the valuation of credit derivatives | Full Text | References | PDF (748.2 KB)
  • 350 Views
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Article
Empirical analysis and calibration of the CEV process for pricing equity default swaps
Belal E. Baaquie, Tang Pan & Jitendra D. Bhanap
Pages: 1815-1823
Published online: 21 Jul 2010
AbstractforEmpirical analysis and calibration of the CEV process for pricing equity default swaps | Full Text | References | PDF (3.4 MB)
  • 437 Views
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Article
An extension of CreditGrades model approach with Lévy processes
Takaaki Ozeki, Yuji Umezawa, Akira Yamazaki & Daisuke Yoshikawa
Pages: 1825-1836
Published online: 24 Sep 2010
AbstractforAn extension of CreditGrades model approach with Lévy processes | Full Text | References | PDF (292.6 KB)
  • 687 Views
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Article
Default risk in interest rate derivatives with stochastic volatility
Bomi Kim & Jeong-Hoon Kim
Pages: 1837-1845
Published online: 15 Apr 2011
AbstractforDefault risk in interest rate derivatives with stochastic volatility | Full Text | References | PDF (264 KB)
  • 479 Views
  • 5 CrossRef citations
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Article
The robustness of simulation-based Markovian transition probabilities for ultra-small samples of non-performing credit
George A. Christodoulakis
Pages: 1847-1864
Published online: 24 Sep 2010
AbstractforThe robustness of simulation-based Markovian transition probabilities for ultra-small samples of non-performing credit | Full Text | References | PDF (175.4 KB)
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Editorial Board

Editorial Board
Page: ebi
Published online: 09 Nov 2011
CitationforEditorial Board | Full Text | PDF (41.8 KB)
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