Pricing of Multi‐Defaultable Bonds with a Two‐Correlated‐Factor Hull–White Model (Q3445889)
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scientific article; zbMATH DE number 5162262
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| English | Pricing of Multi‐Defaultable Bonds with a Two‐Correlated‐Factor Hull–White Model |
scientific article; zbMATH DE number 5162262 |
Statements
Pricing of Multi‐Defaultable Bonds with a Two‐Correlated‐Factor Hull–White Model (English)
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7 June 2007
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PDE
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Cox process
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credit spread
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defaultable bond
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Hull-White model
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0.8035071492195129
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0.7902180552482605
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0.7819861769676208
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0.7671768665313721
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0.7566366791725159
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