A defaultable HJM modelling of the Libor rate for pricing basis swaps after the credit crunch (Q320915): Difference between revisions

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+Multiple Ratings Model of Defaultable Term Structure
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+The Market Model of Interest Rate Dynamics
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+Interest rate models -- theory and practice. With smile, inflation and credit
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+Modelling the evolution of credit spreads using the Cox process within the HJM framework: a CDS option pricing model
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+CREDIT DERIVATIVES PRICING WITH STOCHASTIC VOLATILITY MODELS
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+RATING BASED LÉVY LIBOR MODEL
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+Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
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