A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES (Q3444869)

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A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES
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    title
    A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES (English)
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    author
    Carl Chiarella
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    Erik Schlögl
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    publication date
    5 June 2007
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    Mathematics Subject Classification ID
    91G40
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    91G30
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    91B70
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    60J60
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    60H30
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    zbMATH DE Number
    5161547
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    zbMATH Keywords
    defaultable HJM model
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    stochastic credit spreads
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    defaultable bond prices
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    OpenAlex ID
    W3122072061
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