A default contagion model for pricing defaultable bonds from an information based perspective (Q6101028)
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scientific article; zbMATH DE number 7698367
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A default contagion model for pricing defaultable bonds from an information based perspective |
scientific article; zbMATH DE number 7698367 |
Statements
A default contagion model for pricing defaultable bonds from an information based perspective (English)
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20 June 2023
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default contagion
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information-based approach
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defaultable discount bond
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stochastic differential equations with jumps
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compensated jump martingales
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0.775854766368866
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0.7747091054916382
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0.7702929973602295
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0.7606433629989624
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