A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES (Q3444869): Difference between revisions
From MaRDI portal
ReferenceBot (talk | contribs) Changed an Item |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1142/s0219024907004147 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W3122072061 / rank | |||
Normal rank | |||
Latest revision as of 09:36, 30 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES |
scientific article |
Statements
A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES (English)
0 references
5 June 2007
0 references
defaultable HJM model
0 references
stochastic credit spreads
0 references
defaultable bond prices
0 references
0 references
0 references
0 references
