Notes and references
Chapter 2
[biblio01_001]
| 1. | Mashall R, Naldi M. Extreme Events and Default Baskets: Working Paper, Columbia Graduate School of Business et Quantitative Credit Research. Lehman Brothers Inc; 2002 |
Chapter 3
| 1. | Black, Fischer and Scholes MS. Merton’s 1974 model in: The pricing of options and corporate liabilities – Journal of Political Economy; 1973. pp. 81, 637–54 |
| 2. | Jarrow and Turnbull. Pricing derivatives on financial securities subject to credit risk; 1995. pp. 53–85, vol.50 |
| 3. | O’Kane and Turnbull. Valuation and Risk-Management of Credit Default Swaps; 2003. Lehman Brothers |
| 4. | Altman, Altman. High Yield Bond and Default Study, Salomon Smith Barney – U.S, Fixed Income High Yield Report; 2002. |
| 5. | Hull and White. The general Hull-White ... |
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