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AMS 91B25

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AMS Classification 91B25
"Asset pricing models"

These are all the papers that have the " 91B25" classification. Note that not all authors/journals assign MSC codes.     (sorted by date)

Optimal Right and Wrong Way Risk
by Ignacio Ruiz of iRuiz Consulting,
Ricardo Pachon of Credit Suisse, and
Piero del Boca of Credit Suisse
(405K PDF) -- 27 pages -- April 2013

On Multi-Particle Brownian Survivals and the Spherical Laplacian
by Bannur S. Balakrishna of Unaffiliated
(443K PDF) -- 17 pages -- February 18, 2013

CVA 'Demystified'
by Ignacio Ruiz of iRuiz Consulting
(259K PDF) -- 8 pages -- February 15, 2011

Bilateral Credit Valuation Adjustment of an Optional Early Termination Clause
by Claudio Nordio of Banco Popolare, and
Lorenzo Giada of Banco Popolare
(175K PDF) -- 10 pages -- January 24, 2013

Will Central Counterparties become the New Rating Agencies?
by Chris Kenyon of Lloyds Banking Group, and
Andrew Green of Lloyds Banking Group
(86K PDF) -- 6 pages -- November 28, 2012

Default Swap Games Driven by Spectrally Negative LÚvy 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

American Step-up and Step-down Credit Default Swaps Under LÚvy Models
by Tim S.T. Leung of the Johns Hopkins University, and
Kazutoshi Yamazaki of the Osaka University
(561K PDF) -- 24 pages -- December 25, 2010


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