AMS 2008
From FinMath
Credit related papers presented at AMS 2008.
[edit] Tuesday January 8, 2008
- Paper:Extracting and Using Credit Information in Hybrid Models. Sanjiv R. Das.
- Paper:Two-Dimensional Markovian Model for Dynamics of Aggregate Credit Loss. Andrei Lopatin, Timur Misirpashaev.
- Paper:Multiname and Multiscale Default Modeling. Knut Solna.
- Paper:Calibration of portfolio credit risk model: solution of an inverse problem via intensity control. Rama Cont, Andreea Minca.
- Paper:Default Correlation, Cluster Dynamics and Single Names: The GPCL Dynamical Loss Model. Damiano Brigo.
- Paper:Toric models for correlated defaults. Xin Guo, Onur Filiz, Jason Morton, Bernd Sturmfels.
- Paper:Modeling dependence between schocastic processes with application to finance. Thomasz R. Bielecki, Jacek Jakubowski, Andrea Vidozzi, Luca Vidozzi.
- Paper:Multiscale Stochastic Volatility Diffusion Models. Jean-Pierre Fouque, George Papanicolaou, Ronnie Sircar, Knut Solna.
[edit] Wednesday January 9, 2008
- Paper:Interacting Particle Systems for the Efficient Computation of CDO Tranche Spreads with Rare Defaults. Doug Vestal, Rene Carmona, Jean-Pierre Fouque.
- Paper:The correlation-neutral measure for counting processes. Kay Giesecke.
[edit] Related
Also see Conferences for other credit derivative research related conferences.
