AMS Classification 60G40
"Stopping times; optimal stopping problems; gambling theory"These are all the papers that have the " 60G40 " classification. Note that not all authors/journals assign MSC codes. (sorted by date) Default Swap Games Driven by Spectrally Negative Lévy Processes
by Masahiko Egami of Kyoto University,
Tim S.T. Leung of Columbia University, and
Kazutoshi Yamazaki of Osaka University
(680K PDF) -- 34 pages -- September 27, 2012 Finite Maturity Optimal Stopping of Levy Processes with Running Cost, Stopping Cost and Terminal Gain
by Budhi Arta Surya of Bandung Institute of Technology
(338K PDF) - 20 pages -- July 30, 2012 Precautionary Measures for Credit Risk Management in Jump Models
by Masahiko Egami of the Kyoto University, and
Kazutoshi Yamazaki of the Osaka University
(614K PDF) -- 31 pages -- June 20, 2011 Perpetual Convertible Bonds with Credit Risk
by Christoph Kühn of Goethe-Universität, and
Kees van Schaik of Goethe-Universität
(479K PDF) -- 29 pages -- August 31, 2007 Credit Derivatives with Recovery of Market Value for Multiple Firms
by Keiichi Tanaka of Tokyo Metropolitan University
(161K PDF) -- 16 pages -- September 2006 Valuation of Credit Default Swaps and Swaptions
by Farshid Jamshidian of NIB Capital Bank
(287K PDF) -- 26 pages -- October 12, 2002 Optimal Default Boundary in Discrete Time Models
by Agata Altieri of the Universitá di Padova, and
Tiziano Vargiolu of the Universitá di Padova
(212K PDF) -- 16 pages -- June 2002
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