Matches in SemOpenAlex for { <https://semopenalex.org/work/W3105852387> ?p ?o ?g. }
Showing items 1 to 88 of
88
with 100 items per page.
- W3105852387 abstract "In the paper we study dynamics of the arbitrage prices of credit default swaps within a hazard process model of credit risk. We derive these dynamics without postulating that the immersion property is satisfied between some relevant filtrations. These results are then applied so to study the problem of replication of general defaultable claims, including some basket claims, by means of dynamic trading of credit default swaps." @default.
- W3105852387 created "2020-11-23" @default.
- W3105852387 creator A5046416306 @default.
- W3105852387 creator A5070487421 @default.
- W3105852387 creator A5081796771 @default.
- W3105852387 date "2008-12-01" @default.
- W3105852387 modified "2023-09-27" @default.
- W3105852387 title "Pricing and trading credit default swaps in a hazard process model" @default.
- W3105852387 cites W1593621785 @default.
- W3105852387 cites W1908216331 @default.
- W3105852387 cites W2009488837 @default.
- W3105852387 cites W2023981208 @default.
- W3105852387 cites W2057853952 @default.
- W3105852387 cites W2081806266 @default.
- W3105852387 cites W2101766213 @default.
- W3105852387 cites W2109046559 @default.
- W3105852387 cites W2110652040 @default.
- W3105852387 cites W2122836334 @default.
- W3105852387 cites W2145743997 @default.
- W3105852387 cites W2486885342 @default.
- W3105852387 cites W3124968746 @default.
- W3105852387 cites W3125725099 @default.
- W3105852387 cites W91173593 @default.
- W3105852387 doi "https://doi.org/10.1214/00-aap520" @default.
- W3105852387 hasPublicationYear "2008" @default.
- W3105852387 type Work @default.
- W3105852387 sameAs 3105852387 @default.
- W3105852387 citedByCount "45" @default.
- W3105852387 countsByYear W31058523872012 @default.
- W3105852387 countsByYear W31058523872013 @default.
- W3105852387 countsByYear W31058523872014 @default.
- W3105852387 countsByYear W31058523872015 @default.
- W3105852387 countsByYear W31058523872016 @default.
- W3105852387 countsByYear W31058523872017 @default.
- W3105852387 countsByYear W31058523872019 @default.
- W3105852387 countsByYear W31058523872020 @default.
- W3105852387 countsByYear W31058523872022 @default.
- W3105852387 crossrefType "journal-article" @default.
- W3105852387 hasAuthorship W3105852387A5046416306 @default.
- W3105852387 hasAuthorship W3105852387A5070487421 @default.
- W3105852387 hasAuthorship W3105852387A5081796771 @default.
- W3105852387 hasBestOaLocation W31058523871 @default.
- W3105852387 hasConcept C106159729 @default.
- W3105852387 hasConcept C144133560 @default.
- W3105852387 hasConcept C149782125 @default.
- W3105852387 hasConcept C160623529 @default.
- W3105852387 hasConcept C162118730 @default.
- W3105852387 hasConcept C162324750 @default.
- W3105852387 hasConcept C178350159 @default.
- W3105852387 hasConcept C24308983 @default.
- W3105852387 hasConcept C26457952 @default.
- W3105852387 hasConcept C30589699 @default.
- W3105852387 hasConcept C33923547 @default.
- W3105852387 hasConcept C44309892 @default.
- W3105852387 hasConcept C89997419 @default.
- W3105852387 hasConceptScore W3105852387C106159729 @default.
- W3105852387 hasConceptScore W3105852387C144133560 @default.
- W3105852387 hasConceptScore W3105852387C149782125 @default.
- W3105852387 hasConceptScore W3105852387C160623529 @default.
- W3105852387 hasConceptScore W3105852387C162118730 @default.
- W3105852387 hasConceptScore W3105852387C162324750 @default.
- W3105852387 hasConceptScore W3105852387C178350159 @default.
- W3105852387 hasConceptScore W3105852387C24308983 @default.
- W3105852387 hasConceptScore W3105852387C26457952 @default.
- W3105852387 hasConceptScore W3105852387C30589699 @default.
- W3105852387 hasConceptScore W3105852387C33923547 @default.
- W3105852387 hasConceptScore W3105852387C44309892 @default.
- W3105852387 hasConceptScore W3105852387C89997419 @default.
- W3105852387 hasIssue "6" @default.
- W3105852387 hasLocation W31058523871 @default.
- W3105852387 hasLocation W31058523872 @default.
- W3105852387 hasOpenAccess W3105852387 @default.
- W3105852387 hasPrimaryLocation W31058523871 @default.
- W3105852387 hasRelatedWork W1538741738 @default.
- W3105852387 hasRelatedWork W1590155858 @default.
- W3105852387 hasRelatedWork W1593621785 @default.
- W3105852387 hasRelatedWork W1864548409 @default.
- W3105852387 hasRelatedWork W2118383063 @default.
- W3105852387 hasRelatedWork W2487657577 @default.
- W3105852387 hasRelatedWork W2618665466 @default.
- W3105852387 hasRelatedWork W281084668 @default.
- W3105852387 hasRelatedWork W4316095752 @default.
- W3105852387 hasRelatedWork W70462951 @default.
- W3105852387 hasVolume "18" @default.
- W3105852387 isParatext "false" @default.
- W3105852387 isRetracted "false" @default.
- W3105852387 magId "3105852387" @default.
- W3105852387 workType "article" @default.