Pricing of Multi‐Defaultable Bonds with a Two‐Correlated‐Factor Hull–White Model (Q3445889)
From MaRDI portal
!
WARNING
This is the item page for this Wikibase entity, intended for internal use and editing purposes.
Please use the normal view instead:
scientific article; zbMATH DE number 5162262
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| 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)
0 references
7 June 2007
0 references
PDE
0 references
Cox process
0 references
credit spread
0 references
defaultable bond
0 references
Hull-White model
0 references
0 references
0.8035071492195129
0 references
0.7902180552482605
0 references
0.7819861769676208
0 references
0.7671768665313721
0 references
0.7566366791725159
0 references
