Aguilar, Jean-Philippe; Pesci, Nicolas; James, Victor A structural approach to default modelling with pure jump processes. (English) Zbl 1475.91381 Appl. Math. Finance 28, No. 1, 48-78 (2021). MSC: 91G40 60J74 60G51 PDFBibTeX XMLCite \textit{J.-P. Aguilar} et al., Appl. Math. Finance 28, No. 1, 48--78 (2021; Zbl 1475.91381) Full Text: DOI arXiv
Le Courtois, Olivier; Su, Xiaoshan Structural pricing of CoCos and deposit insurance with regime switching and jumps. (English) Zbl 1467.91200 Asia-Pac. Financ. Mark. 27, No. 4, 477-520 (2020). MSC: 91G40 91G20 60J74 PDFBibTeX XMLCite \textit{O. Le Courtois} and \textit{X. Su}, Asia-Pac. Financ. Mark. 27, No. 4, 477--520 (2020; Zbl 1467.91200) Full Text: DOI
Le Courtois, Olivier; Quittard-Pinon, François; Su, Xiaoshan Pricing and hedging defaultable participating contracts with regime switching and jump risk. (English) Zbl 1444.91192 Decis. Econ. Finance 43, No. 1, 303-339 (2020). MSC: 91G05 91G40 60J74 PDFBibTeX XMLCite \textit{O. Le Courtois} et al., Decis. Econ. Finance 43, No. 1, 303--339 (2020; Zbl 1444.91192) Full Text: DOI
Hainaut, Donatien Evaluation and default time for companies with uncertain cash flows. (English) Zbl 1314.91230 Insur. Math. Econ. 61, 276-285 (2015). MSC: 91G40 60J75 62P05 91B30 PDFBibTeX XMLCite \textit{D. Hainaut}, Insur. Math. Econ. 61, 276--285 (2015; Zbl 1314.91230) Full Text: DOI
Yin, Chuancun; Wen, Yuzhen; Zong, Zhaojun; Shen, Ying The first passage time problem for mixed-exponential jump processes with applications in insurance and finance. (English) Zbl 1474.62375 Abstr. Appl. Anal. 2014, Article ID 571724, 9 p. (2014). MSC: 62P05 60J76 91B05 91G20 PDFBibTeX XMLCite \textit{C. Yin} et al., Abstr. Appl. Anal. 2014, Article ID 571724, 9 p. (2014; Zbl 1474.62375) Full Text: DOI arXiv
Hainaut, Donatien; Le Courtois, Olivier An intensity model for credit risk with switching Lévy processes. (English) Zbl 1402.91846 Quant. Finance 14, No. 8, 1453-1465 (2014). MSC: 91G40 60G51 60J75 60J20 PDFBibTeX XMLCite \textit{D. Hainaut} and \textit{O. Le Courtois}, Quant. Finance 14, No. 8, 1453--1465 (2014; Zbl 1402.91846) Full Text: DOI
Astic, Fabian; Tourin, Agnès On the credit risk of secured loans with maximum loan-to-value covenants. (English) Zbl 1304.91230 Int. J. Theor. Appl. Finance 17, No. 8, Article ID 1450055, 19 p. (2014). MSC: 91G40 93E20 91G60 PDFBibTeX XMLCite \textit{F. Astic} and \textit{A. Tourin}, Int. J. Theor. Appl. Finance 17, No. 8, Article ID 1450055, 19 p. (2014; Zbl 1304.91230) Full Text: DOI
Dong, Yinghui; Wang, Guojing Fair valuation of life insurance contracts under a two-sided jump diffusion model. (English) Zbl 1277.91082 Commun. Stat., Theory Methods 42, No. 21, 3926-3948 (2013). MSC: 91B30 91G20 60J60 60J75 PDFBibTeX XMLCite \textit{Y. Dong} and \textit{G. Wang}, Commun. Stat., Theory Methods 42, No. 21, 3926--3948 (2013; Zbl 1277.91082) Full Text: DOI
Le Courtois, Olivier; Nakagawa, Hidetoshi On surrender and default risks. (English) Zbl 1282.91156 Math. Finance 23, No. 1, 143-168 (2013). MSC: 91B30 91G40 91G30 PDFBibTeX XMLCite \textit{O. Le Courtois} and \textit{H. Nakagawa}, Math. Finance 23, No. 1, 143--168 (2013; Zbl 1282.91156) Full Text: DOI
Ballestra, Luca Vincenzo; Pacelli, Graziella A radial basis function approach to compute the first-passage probability density function in two-dimensional jump-diffusion models for financial and other applications. (English) Zbl 1352.65385 Eng. Anal. Bound. Elem. 36, No. 11, 1546-1554 (2012). MSC: 65M70 60J75 91G60 91G20 PDFBibTeX XMLCite \textit{L. V. Ballestra} and \textit{G. Pacelli}, Eng. Anal. Bound. Elem. 36, No. 11, 1546--1554 (2012; Zbl 1352.65385) Full Text: DOI
Dong, Yinghui; Liang, Xue Decomposition of default probability under a structural credit risk model with jumps. (English) Zbl 1264.91132 Lith. Math. J. 52, No. 4, 369-384 (2012). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G40 60G51 60J25 PDFBibTeX XMLCite \textit{Y. Dong} and \textit{X. Liang}, Lith. Math. J. 52, No. 4, 369--384 (2012; Zbl 1264.91132) Full Text: DOI
Dong, Yinghui; Wang, Guojing; Wu, Rong Pricing the zero-coupon bond and its fair premium under a structural credit risk model with jumps. (English) Zbl 1217.91195 J. Appl. Probab. 48, No. 2, 404-419 (2011). MSC: 91G40 91B25 60J75 44A10 PDFBibTeX XMLCite \textit{Y. Dong} et al., J. Appl. Probab. 48, No. 2, 404--419 (2011; Zbl 1217.91195) Full Text: DOI
Chen, Nan; Kou, S. G. Credit spreads, optimal capital structure, and implied volatility with endogenous default and jump risk. (English) Zbl 1168.91379 Math. Finance 19, No. 3, 343-378 (2009). MSC: 91B28 PDFBibTeX XMLCite \textit{N. Chen} and \textit{S. G. Kou}, Math. Finance 19, No. 3, 343--378 (2009; Zbl 1168.91379) Full Text: DOI
Le Courtois, Olivier; Quittard-Pinon, François The optimal capital structure of the firm with stable Lévy assets returns. (English) Zbl 1160.91014 Decis. Econ. Finance 31, No. 1, 51-72 (2008). Reviewer: Ryszard Doman (Poznan) MSC: 91B28 60G52 60G51 91B70 PDFBibTeX XMLCite \textit{O. Le Courtois} and \textit{F. Quittard-Pinon}, Decis. Econ. Finance 31, No. 1, 51--72 (2008; Zbl 1160.91014) Full Text: DOI