Asymptotic expansion for term structures of defaultable bonds with non-Gaussian dependent innovations (Q2254285)
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scientific article; zbMATH DE number 6397528
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| English | Asymptotic expansion for term structures of defaultable bonds with non-Gaussian dependent innovations |
scientific article; zbMATH DE number 6397528 |
Statements
Asymptotic expansion for term structures of defaultable bonds with non-Gaussian dependent innovations (English)
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4 February 2015
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credit risk
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Edgeworth expansion
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short rates
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term structure
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Vasicek model
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0.7498958110809326
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0.7352924346923828
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0.7338944673538208
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0.7293727397918701
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