Displaying similar documents to “Valuation Theory. Part I”

Dependent defaults and credit migrations

Tomasz R. Bielecki, Marek Rutkowski (2003)

Applicationes Mathematicae

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The paper deals with the modelling of mutually dependent default times of several credit names through the intensity-based approach. We extend to the case of multiple ratings some previous results due to Schmidt (1998), Kusuoka (1999) and Jarrow and Yu (2001). The issue of the arbitrage valuation of simple basket credit derivatives is also briefly examined. We argue that our approach leads, in some cases, to a significant reduction of the dimensionality of the valuation problem at hand. ...

On Strong Going-Between, Going-Down, And Their Universalizations, II

David E. Dobbs, Gabriel Picavet (2003)

Annales mathématiques Blaise Pascal

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We consider analogies between the logically independent properties of strong going-between (SGB) and going-down (GD), as well as analogies between the universalizations of these properties. Transfer results are obtained for the (universally) SGB property relative to pullbacks and Nagata ring constructions. It is shown that if A ⊆ B are domains such that A is an LFD universally going-down domain and B is algebraic over A , then the inclusion map A [ X 1 , ⋯ , X n ] ↪ B [ X 1 , ⋯ , X n ] satisfies GB for each n ≥ 0 . However, for any...

Some remarks on the altitude inequality

Noômen Jarboui (1999)

Colloquium Mathematicae

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We introduce and study a new class of ring extensions based on a new formula involving the heights of their primes. We compare them with the classical altitude inequality and altitude formula, and we give another characterization of locally Jaffard domains, and domains satisfying absolutely the altitude inequality (resp., the altitude formula). Then we study the extensions R ⊆ S where R satisfies the corresponding condition with respect to S (Definition 3.1). This leads to a new characterization...