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Valuation of default sensitive claims under imperfect information

Author

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  • Délia Coculescu

    (DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique)

Abstract

No abstract is available for this item.

Suggested Citation

  • Délia Coculescu, 2006. "Valuation of default sensitive claims under imperfect information," Post-Print halshs-00163334, HAL.
    • Handle: RePEc:hal:journl:halshs-00163334
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    Citations

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    Cited by:

    1. Thorsten Schmidt & Alexander Novikov, 2008. "A Structural Model with Unobserved Default Boundary," Applied Mathematical Finance, Taylor & Francis Journals, vol. 15(2), pages 183-203.
    2. Caroline Hillairet & Ying Jiao, 2010. "Information Asymmetry in Pricing of Credit Derivatives," Papers 1002.3256, arXiv.org.
    3. Chuang Yi, 2010. "On the first passage time distribution of an Ornstein-Uhlenbeck process," Quantitative Finance, Taylor & Francis Journals, vol. 10(9), pages 957-960.
    4. Caroline Hillairet & Ying Jiao, 2011. "Information Asymmetry In Pricing Of Credit Derivatives," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 14(05), pages 611-633.
    5. Caroline Hillairet & Ying Jiao, 2010. "Information Asymmetry in Pricing of Credit Derivatives," Working Papers hal-00457456, HAL.
    6. Caroline Hillairet & Ying Jiao, 2012. "Credit Risk with asymmetric information on the default threshold," Post-Print hal-00663136, HAL.

    More about this item

    Keywords

    hybrid models; default sensitive claims;

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