A defaultable bond model with cyclical fluctuations in the spread process
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Cites work
- A cyclical square-root model for the term structure of interest rates
- A theory of the term structure of interest rates
- An equilibrium characterization of the term structure
- Default risks, interest rate spreads, and business cycles: Explaining the interest rate spread as a leading indicator
- Electricity prices and power derivatives: evidence from the Nordic Power Exchange
- scientific article; zbMATH DE number 777596 (Why is no real title available?)
- Interest rate dynamics, derivatives pricing, and risk management
- Interest rate modelling.
- Interest rate models -- theory and practice. With smile, inflation and credit
- Long-term swings and seasonality in energy markets
- Pricing interest-rate-derivative securities
- Term-structure models. A graduate course
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