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Modelling Extremal Events for Insurance and Finance
by Paul Embrechts, Claudia Klüppelberg, Thomas Mikosch, Springer, (October 15, 2004), Hardcover, 655 pages
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| | JEL Classification C65
"Miscellaneous Mathematical Tools"These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the C65 classification. (sorted by date) Counterparty Risk Valuation for Energy-commodities Swaps: Impact of volatilities and correlation
by Damiano Brigo of FitchSolutions & Imperial College,
Kyriakos Chourdakis of FitchSolutions & University of Essex, and
Imane Bakkar of FitchSolutions
(345K PDF) -- 21 pages -- June 24, 2008 Counterparty Risk for Credit Default Swaps: Impact of spread volatility and default correlation
by Damiano Brigo of FitchSolutions & Imperial College, and
Kyriakos Chourdakis of FitchSolutions & University of Essex
(220K PDF) -- 19 pages -- May 16, 2008 An Exact Formula for Default Swaptions Pricing in the SSRJD Stochastic Intensity Model
by Damiano Brigo of Q-SCI, DerivativeFitch, and
Naoufel El-Bachir of University of Reading
(315K PDF) -- 18 pages -- November 8, 2007 Two-Dimensional Markovian Model for Dynamics of Aggregate Credit Loss
by Andrei V. Lopatin of NumeriX LLC, and
Timur Misirpashaev of NumeriX LLC
(584K PDF) –- 27 pages -- May 3, 2007 Credit Derivatives Pricing with a Smile-Extended Jump Stochastic Intensity Model
by Damiano Brigo of Banca IMI, and
Naoufel El-Bachir of University of Reading
(655K PDF) –- 22 pages -- December 5, 2006 Utility-Based Pricing of Defaultable Bonds and the Decomposition of Credit Risk
by Tomoaki Shouda of the Mitsubishi UFJ Trust Investment Technology Institute Co., Ltd. and Hitotsubashi University
(571K PDF) –- 22 pages -- December 20, 2006 Credit Risk in a Network Economy
by Henry Schellhorn of Claremont Graduate University, and
Didier Cossin of IMD, Lausanne
(343K PDF) -- 24 pages -- October 4, 2006
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