Term structure modelling of defaultable bonds
DOI10.1007/BF01531334zbMATH Open1274.91452OpenAlexW1528364298MaRDI QIDQ375366FDOQ375366
Publication date: 30 October 2013
Published in: Review of Derivatives Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/bf01531334
default riskterm structure of interest ratesHeath-Jarrow-Morton modelcredit spreadsdefault probabilitiesdefaultable forward ratesrecovery rates
Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)
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- The Power-Series Algorithm Applied to the Shortest-Queue Model
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