Dynamic Defaultable Term Structure Modeling Beyond The Intensity Paradigm
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DOI: 10.1111/mafi.12138
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Cited by:
- Claudio Fontana & Zorana Grbac & Sandrine Gümbel & Thorsten Schmidt, 2020. "Term structure modelling for multiple curves with stochastic discontinuities," Finance and Stochastics, Springer, vol. 24(2), pages 465-511, April.
- Tolulope Fadina & Thorsten Schmidt, 2019. "Default Ambiguity," Risks, MDPI, vol. 7(2), pages 1-17, June.
- Jan-Frederik Mai, 2019. "Pricing-Hedging Duality For Credit Default Swaps And The Negative Basis Arbitrage," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(06), pages 1-17, September.
- Tahir Choulli & Catherine Daveloose & Michèle Vanmaele, 2020. "A martingale representation theorem and valuation of defaultable securities," Mathematical Finance, Wiley Blackwell, vol. 30(4), pages 1527-1564, October.
- Claudio Fontana & Zorana Grbac & Thorsten Schmidt, 2022. "Term structure modelling with overnight rates beyond stochastic continuity," Papers 2202.00929, arXiv.org, revised Aug 2023.
- Sandrine Gumbel & Thorsten Schmidt, 2021. "Defaultable term structures driven by semimartingales," Papers 2103.01577, arXiv.org, revised Aug 2021.
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