A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES (Q3444869): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank |
Revision as of 12:17, 5 March 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