Monotonicity of the collateralized debt obligations term structure model

DOI10.1080/17442508.2013.879145zbMath1337.91121arXiv1512.03173OpenAlexW2962708964MaRDI QIDQ2811110

Michał Barski

Publication date: 10 June 2016

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1512.03173

zbMATH Keywords

monotonicitybond marketHJM conditionCDO modelHJMM equation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Credit risk (91G40)

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