Pricing Defaultable Bonds in a Markov Modulated Market (Q2893288)

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Pricing Defaultable Bonds in a Markov Modulated Market
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    title
    Pricing Defaultable Bonds in a Markov Modulated Market (English)
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    author
    Tamal Banerjee
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    Mrinal K. Ghosh
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    Srikanth K. Iyer
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    publication date
    20 June 2012
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    Mathematics Subject Classification ID
    91B24
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    91G20
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    91B70
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    zbMATH DE Number
    6048112
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    zbMATH Keywords
    Credit spread
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    defaultable bond
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    minimal martingale measure
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    quadratic hedging
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    structural approach
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