Delia Coculescu

University of Zurich - Department of Banking and Finance

Schönberggasse 1

Zürich, 8001

Switzerland

SCHOLARLY PAPERS

3

DOWNLOADS

66

CITATIONS

3

Scholarly Papers (3)

Endogenous Trading in Credit Default Swaps

Number of pages: 31 Posted: 14 Jul 2016
Marc Chesney, Delia Coculescu and Selim Gökay
University of Zurich - Department of Banking and Finance, University of Zurich - Department of Banking and Finance and Technische Universität Berlin (TU Berlin)
Downloads 43 (418,676)

Abstract:

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CDS, moral hazard, real options, switching option, default risk, optimal stopping problems, Longstaff-Schwarz algorithm

Endogenous Trading in Credit Default Swaps

Posted: 23 Jun 2016
Marc Chesney, Delia Coculescu and Selim Gökay
University of Zurich - Department of Banking and Finance, University of Zurich - Department of Banking and Finance and Technische Universität Berlin (TU Berlin)

Abstract:

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CDS, moral hazard, real options, switching option, default risk, optimal stopping problems, Longstaff-Schwarz algorithm

2.

A Default System with Overspilling Contagion

Number of pages: 23 Posted: 25 Sep 2017
Delia Coculescu
University of Zurich - Department of Banking and Finance
Downloads 22 (507,158)

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default risk, default contagion, interacting intensities, non Markovian model

3.

Hazard Processes and Martingale Hazard Processes

Mathematical Finance, Vol. 22, Issue 3, pp. 519-537, 2012
Number of pages: 19 Posted: 08 Jun 2012
Delia Coculescu and Ashkan Nikeghbali
University of Zurich - Department of Banking and Finance and affiliation not provided to SSRN
Downloads 1 (648,213)
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Abstract:

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default modeling, credit risk models, random times, enlargements of filtrations, hazard process, immersed filtrations, pseudo‐stopping times, honest times