Modeling credit risk with partial information

Annals of Applied Probability

Volumn 14, Issue 3, 2004, Pages 1167-1178

  Çetin, Umut ^a   Jarrow, Robert ^a,c   Protter, Philip ^a   Yildirim, Yildiray ^b,d  

^a Department of Population Medicine and Diagnostic Sciences   (United States)

^b SYRACUSE UNIVERSITY   (United States)

^c SAS Institute Inc   (United States)

^d SYRACUSE UNIVERSITY   (United States)

Author keywords

Az ma martingale; Brownian excursions; Default distribution; Default risk

Indexed keywords

EID: 25144449521     PISSN: 10505164     EISSN: 10505164     Source Type: Journal    
DOI: 10.1214/105051604000000251     Document Type: Article

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