Alternative defaultable term structure models

DOI10.1007/S10690-009-9084-6MaRDI QIDQ841849zbMATH OpenOpenAlexFDO

Authors Nicola Bruti-Liberati, Christina Nikitopoulos Sklibosios, Eckhard Platen, Erik Schlögl

Publication date 18 September 2009

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10453/8281

zbMATH Keywords

jump-diffusion processesdefaultable forward ratesgrowth optimal portfolioreal-world pricing

Mathematics Subject Classification ID

Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

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• AN EMPIRICAL INVESTIGATION OF THE FORWARD INTEREST RATE TERM STRUCTURE
• Arbitrage in continuous complete markets
• Bond Market Structure in the Presence of Marked Point Processes
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Discrete credit barrier models
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• Exact scenario simulation for selected multi-dimensional stochastic processes
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• PERFECT HEDGING OF INDEX DERIVATIVES UNDER A MINIMAL MARKET MODEL
• Real-world jump-diffusion term structure models
• Statistical Results on Control Variables with Application to Queueing Network Simulation
• Term structure modelling of defaultable bonds

Cited in

(8)

• AN ALTERNATIVE INTEREST RATE TERM STRUCTURE MODEL
• Structural default model with mutual obligations
• No Arbitrage Theory for Bond Markets
• scientific article; zbMATH DE number 2079046 (Why is no real title available?)
• Defaultable Bond markets with jumps
• Term structure modelling of defaultable bonds
• Real-world jump-diffusion term structure models
• QUADRATIC TERM STRUCTURE MODELS FOR RISK‐FREE AND DEFAULTABLE RATES

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