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Paris-Princeton Lectures on Mathematical Finance 2004 Finance 2004
by Rene A. Carmona, Ivar Ekeland, Arturo Kohatsu-Higa, Jean-Michel Lasry, Pierre-Louis Lions, Huyen Pham, Erik Taflin, Springer, (October 1, 2007), Paperback, 248 pages |  | Training Discounted for DefaultRisk.com visitors only:
The Mathematics of Credit Derivatives: The Essential Credit Modelling and Pricing Companion
by Philipp J. Schönbucher,
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| | JEL Classification C0 & C00
"General: Mathematical and Quantitative Methods"These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the C0 & C00 classifications. (sorted by date) Dynamic Copulas: Applications to finance and economics
by Daniel TOTOUOM TANGHO of École des Mines de Paris
(3,209K PDF) -- 158 pages -- November 6, 2007 Correlation Smile Matching with Alpha-Stable Distributions and Fitted Archimedan Copula Models
by Dirk Prange of DrKW, and
Wolfgang Scherer of DrKW
(204K PDF) -– 16 pages -- March 14, 2006 Pricing Callable Bonds with Stochastic Interest Rate and Stochastic Default Risk: A 3D Finite Difference Model
by David Wang of Hsuan Chuang University
(62K PDF) –- 10 pages -- February 2005 Arbitrage-Free Price Ranges for nth-to-Default Swaps
by Michael B. Walker of the University of Toronto
(141K PDF) -- 11 pages -- November 29, 2004 CreditMetrics™ -- Technical Document
by Greg M. Gupton of the Morgan Guaranty Trust Company,
Christopher C. Finger of the Morgan Guaranty Trust Company, and
Mickey Bhatia of the Morgan Guaranty Trust Company
(1,361K PDF) -- 212 pages -- April 2, 1997
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