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Paris-Princeton Lectures on Mathematical Finance 2004 Finance 2004
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| | JEL Classification C69
"Other: Mathematical Methods and Programming"These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the C69 classification. (sorted by date) An Integrated Pricing Model for Defaultable Loans and Bonds
by Mario Onorato of City University (London), and
Edward I. Altman of New York University
(532K PDF) – 21 pages -- March 2005 Optimal Credit Limit Management Under Different Information Regimes
by Markus Leippold of the University of Zürich,
Paolo Vanini of the Swiss Banking Institute, University of Zürich & Zürcher Kantonalbank, and
Silvan Ebnoether of Zürcher Kantonalbank
(466K PDF) -- 29 pages -- February 27, 2005 A Simple Model of Credit Contagion
by Daniel Egloff of Zürcher Kantonalbank,
Markus Leippold of the University of Zurich, and
Paolo Vanini of the University of Southern Switzerland & Zürcher Kantonalbank
(1,555K PDF) -- 51 pages -- February 18, 2004 Modeling Default Dependence with Threshold Models
by Ludger Overbeck of Deutsche Bank AG, and
Wolfgang Schmidt of Hochschule für Bankwirtschaft
(229K PDF) -- 17 pages -- March 18, 2003
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