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AMS 60H30


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AMS Classification 60H30
"Applications of stochastic analysis (to PDE, etc.)"

These are all the papers that have the " 60H30 " classification. Note that not all authors/journals assign MSC codes.     (sorted by date)

Default and Systemic Risk in Equilibrium
by Agostino Capponi of the Purdue University, and
Martin Larsson of the Cornell University
(480K PDF) -- 42 pages -- December 23, 2011

Pricing and Trading Credit Default Swaps in a Hazard Process Model
by Tomasz Bielecki of the Illinois Institute of Technology,
Monique Jeanblanc of ╔vry University, and
Marek Rutkowski of the University of New South Wales & Warsaw University of Technology
(378K PDF) -- 37 pages -- January 2008

Pricing and Hedging in the Presence of Extraneous Risks
by Pierre Collin-Dufresne of the University of California, Berkeley, and
Julien Hugonnier of the Swiss Finance Institute & HEC UniversitÚ de Lausanne
(415K PDF) -- 24 pages -- June 2007

Partial Information and Hazard Process
by Monique Jeanblanc of the UniversitÚ 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 UniversitÚ d'╔vry Val d'Essonne, and
Marek Rutkowski of the Warsaw University of Technology
(299K PDF) -- 25 pages -- October 18, 2003

Multiscale Stochastic Volatility Asymptotics
by Jean-Pierre Fouque of North Carolina State University,
George Papanicolaou of Stanford University,
Ronnie Sircar of Princeton University, and
Knut S°lna of the University of California, Irvine
(247K PDF) -- 21 pages -- October 2003

A General Framework for Pricing Credit Risk
by Alain BÚlanger 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

 

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