AMS Classification 60G44
"Martingales with continuous parameter"These are all the papers that have the " 60G44 " classification. Note that not all authors/journals assign MSC codes. (sorted by date) Pricing and Trading Credit Default Swaps in a Hazard Process Model
by Tomasz Bielecki of the Illinois Institute of Technology,
Monique Jeanblanc of Évry University, and
Marek Rutkowski of the University of New South Wales & Warsaw University of Technology
(378K PDF) -- 37 pages -- January 2008 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 Partial Information and Hazard Process
by Monique Jeanblanc of the Université d'Evry, and
Stoyan Valchev of ISB Zurich
(537K PDF) -- 32 pages -- November 4, 2004 Pricing and Hedging of Credit Risk: Replication and Mean-Variance Approaches
by Tomasz R. Bielecki of the Illinois Institute of Technology, and
Monique Jeanblanc of the Université d'Évry Val d'Essonne, and
Marek Rutkowski of the Warsaw University of Technology
(299K PDF) -- 25 pages -- October 18, 2003 A General Framework for Pricing Credit Risk
by Alain Bélanger of Scotia Capital,
Steven E. Shreve of Carnegie Mellon University, and
Dennis Wong of Bank of America Corporation
(313K PDF) -- 40 pages -- April 16, 2003 Valuation of Credit Default Swaps and Swaptions
by Farshid Jamshidian of NIB Capital Bank
(287K PDF) -- 26 pages -- October 12, 2002
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