Pricing Defaultable Bonds in a Markov Modulated Market (Q2893288)

From MaRDI portal
Revision as of 09:56, 5 March 2024 by Import240304020342 (talk | contribs) (Set profile property.)
scientific article
Language Label Description Also known as
English
Pricing Defaultable Bonds in a Markov Modulated Market
scientific article

    Statements

    title
    Pricing Defaultable Bonds in a Markov Modulated Market (English)
    0 references
    author
    Tamal Banerjee
    0 references
    Mrinal K. Ghosh
    0 references
    Srikanth K. Iyer
    0 references
    publication date
    20 June 2012
    0 references
    Mathematics Subject Classification ID
    91B24
    0 references
    91G20
    0 references
    91B70
    0 references
    zbMATH DE Number
    6048112
    0 references
    zbMATH Keywords
    Credit spread
    0 references
    defaultable bond
    0 references
    minimal martingale measure
    0 references
    quadratic hedging
    0 references
    structural approach
    0 references
     
    Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Item:Q2893288&oldid=27326759"
    Powered by MediaWiki