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Paris-Princeton Lectures on Mathematical Finance 2004 Finance 2004
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| | JEL Classification C65
"Miscellaneous Mathematical Tools"These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the C65 classification. (sorted by date) An Exact Formula for Default Swaptions Pricing in the SSRJD Stochastic Intensity Model
by Damiano Brigo of Q-SCI, DerivativeFitch, and
Naoufel El-Bachir of University of Reading
(315K PDF) -- 18 pages -- November 8, 2007 Two-Dimensional Markovian Model for Dynamics of Aggregate Credit Loss
by Andrei V. Lopatin of NumeriX LLC, and
Timur Misirpashaev of NumeriX LLC
(584K PDF) –- 27 pages -- May 3, 2007 Credit Derivatives Pricing with a Smile-Extended Jump Stochastic Intensity Model
by Damiano Brigo of Banca IMI, and
Naoufel El-Bachir of University of Reading
(655K PDF) –- 22 pages -- December 5, 2006 Utility-Based Pricing of Defaultable Bonds and the Decomposition of Credit Risk
by Tomoaki Shouda of the Mitsubishi UFJ Trust Investment Technology Institute Co., Ltd. and Hitotsubashi University
(571K PDF) –- 22 pages -- December 20, 2006 Credit Risk in a Network Economy
by Henry Schellhorn of Claremont Graduate University, and
Didier Cossin of IMD, Lausanne
(343K PDF) -- 24 pages -- October 4, 2006
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