Modeling of the Defaultable Term Structure: Conditionally Markov Approach

DOI10.1109/TAC.2004.824480MaRDI QIDQ5273708zbMATH OpenFDO

Authors Tomasz R. Bielecki, Marek Rutkowski

Publication date 12 July 2017

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/TAC.2004.824480

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Continuous-time Markov processes on discrete state spaces (60J27) Brownian motion (60J65) Markov and semi-Markov decision processes (90C40) Credit risk (91G40)

Cited in

(8)

• Rating based Lévy Libor model
• Real options with priced regime-switching risk
• Default Times in a Continuous-Time Markovian Regime Switching Model
• A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES
• A Structural Model with Unobserved Default Boundary
• Nonexistence of Markovian time dynamics for graphical models of correlated default
• The Defaultable Lévy Term Structure: Ratings and Restructuring
• Conditional Markov chains: properties, construction and structured dependence

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