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Constructing random times with given survival processes and applications to valuation of credit derivatives. (English) Zbl 1228.91070

Chiarella, Carl (ed.) et al., Contemporary quantitative finance. Essays in honour of Eckhard Platen. Papers based on the presentations at the international conference “Quantitative methods in finance”, Sydney, Australia, December 2009. Berlin: Springer (ISBN 978-3-642-03478-7/hbk). 255-280 (2010).
MSC:  91G20 60G35 60G48
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