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On Bounding Credit-Event Risk Premia

Publications associées (57)

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Linear credit risk models

Damir Filipovic, Damien Edouard Ackerer

We introduce a novel class of credit risk models in which the drift of the survival process of a firm is a linear function of the factors. The prices of defaultable bonds and credit default swaps (CDS) are linear-rational in the factors. The price of a CDS ...

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The design of stimuli-responsive nanocarriers has raised much attention to achieve higher local concentration of therapeutics and mitigate the appearance of drug resistance. The combination of imaging properties and controlled photorelease of active molecu ...

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Risk Perception and Epidemics in Complex Computer Networks

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The small RNA RyhB is a regulator of cytochrome expression in Shewanella oneidensis

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Shewanella oneidensis produces an extensive electron transfer network that results in metabolic flexibility. A large number of c-type cytochromes are expressed by S. oneidensis and these function as the fundamental electron transport chain proteins. Althou ...

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Polynomial models in finance

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This thesis presents new flexible dynamic stochastic models for the evolution of market prices and new methods for the valuation of derivatives. These models and methods build on the recently characterized class of polynomial jump-diffusion processes for w ...

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Pesticides drive risk of micropollutants in wastewater-impacted streams during low flow conditions

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Micropollutants enter surface waters through various pathways, of which wastewater treatment plants (WWTPs) are a major source. The large diversity of micropollutants and their many modes of toxic action pose a challenge for assessing environmental risks. ...

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