Term structure modelling of defaultable bonds (Q375366): Difference between revisions

@@ Property / Mathematics Subject Classification ID @@
+G30
@@ Property / Mathematics Subject Classification ID: 91G30 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G20
@@ Property / Mathematics Subject Classification ID: 91G20 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6220920
@@ Property / zbMATH DE Number: 6220920 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+default risk
@@ Property / zbMATH Keywords: default risk / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Heath-Jarrow-Morton model
@@ Property / zbMATH Keywords: Heath-Jarrow-Morton model / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+term structure of interest rates
@@ Property / zbMATH Keywords: term structure of interest rates / rank @@
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@@ Property / zbMATH Keywords @@
+default probabilities
@@ Property / zbMATH Keywords: default probabilities / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+recovery rates
@@ Property / zbMATH Keywords: recovery rates / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+credit spreads
@@ Property / zbMATH Keywords: credit spreads / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+defaultable forward rates
@@ Property / zbMATH Keywords: defaultable forward rates / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / cites work @@
+DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS
@@ Property / cites work: DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS / rank @@
+Normal rank
@@ Property / cites work @@
+Bond Market Structure in the Presence of Marked Point Processes
+Normal rank
@@ Property / cites work @@
+Towards a general theory of bond markets
@@ Property / cites work: Towards a general theory of bond markets / rank @@
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+A Theory of the Term Structure of Interest Rates
@@ Property / cites work: A Theory of the Term Structure of Interest Rates / rank @@
+Normal rank
@@ Property / cites work @@
+Recursive valuation of defaultable securities and the timing of resolution of uncertainty
+Normal rank
@@ Property / cites work @@
+Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
+Normal rank
@@ Property / cites work @@
+Q3774629
@@ Property / cites work: Q3774629 / rank @@
+Normal rank
@@ Property / cites work @@
+OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS
+Normal rank
@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
+Normal rank
@@ Property / cites work @@
+Q3996259
@@ Property / cites work: Q3996259 / rank @@
+Normal rank
@@ Property / cites work @@
+A Note on the Stability of Lognormal Interest Rate Models and the Pricing of Eurodollar Futures
+Normal rank
@@ Property / cites work @@
+Technical Note—An Inequality for the Variance of Waiting Time under a General Queuing Discipline
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@@ Property / full work available at URL @@
+https://doi.org/10.1007/bf01531334
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@@ Property / OpenAlex ID @@
+W1528364298
@@ Property / OpenAlex ID: W1528364298 / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:375366