Displaying similar documents to “On chains of centered valuations.”

Valuation Theory. Part I

Grzegorz Bancerek, Hidetsune Kobayashi, Artur Korniłowicz (2012)

Formalized Mathematics

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In the article we introduce a valuation function over a field [1]. Ring of non negative elements and its ideal of positive elements have been also defined.

On valuations of nearfields

Dalibor Klucký, Libuše Marková (1983)

Acta Universitatis Palackianae Olomucensis. Facultas Rerum Naturalium. Mathematica

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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. ...