Economy – Quantitative Finance – Portfolio Management
Scientist
Economy
Quantitative Finance
Portfolio Management
Scientist
PMA
LPMA
Credit derivatives pricing with default density term structure modelled by Lévy random fields
Information Asymmetry in Pricing of Credit Derivatives
Multiple defaults and contagion risks
Optimal investment under multiple defaults risk: a BSDE-decomposition approach
Optimal investment with counterparty risk: a default-density modeling approach
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