Modeling and Valuation of Credit Risk
By Tomasz R. Bielecki, Monique Jeanblanc, Marek Rutkowski. 2004
52 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/f0139cbdab4e80acb98809423092c133fe7b85f5
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Huyen Pham
- René A. Carmona
- Marek Rutkowski
- Tomasz R. Bielecki
- Nizar Touzi
- Monique Jeanblanc
- Elyès Jouini
- Jose A. Scheinkman
In Finance
- Huyen Pham
- Monique Jeanblanc
- Tomasz R. Bielecki
- René A. Carmona
- Marek Rutkowski
- St'ephane Cr'epey
- Daniel Lacker
- Erhan Cinlare
Citations in the corpus
- Paris-Princeton Lectures on Mathematical Finance 2002 (2003, background): “For more general recovery schemes and the corresponding bond valuation results, we refer, for instance, to Section 2.2.4 in Bielecki et al. (2004a) .”
- Hedging of Defaultable Claims (2004, background): “We shall now present the well-known valuation formulae for defaultable claims within the reduced-form setup (see, e.g., Lando (1998), Sch¨ onbucher (1998), Bielecki and Rutkowski (2004) or Bielecki et al. (2004a) ).”
- Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management (2010, background): “For an overview, we refer to the books [3], [4], [23] or the lecture notes [2].”