AN EXTENSION OF THE BRODY–HUGHSTON–MACRINA APPROACH TO MODELING OF DEFAULTABLE BONDS
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Publication:5297239
DOI10.1142/S0219024907004263zbMATH Open1136.91487OpenAlexW2091290955MaRDI QIDQ5297239FDOQ5297239
Publication date: 18 July 2007
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024907004263
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Cites Work
Cited In (13)
- Dam rain and cumulative gain
- CONDITIONAL DENSITY MODELS FOR ASSET PRICING
- HEAT KERNEL INTEREST RATE MODELS WITH TIME-INHOMOGENEOUS MARKOV PROCESSES
- Lévy information and the aggregation of risk aversion
- Information-based approach: pricing of a credit risky asset in the presence of default time
- A default contagion model for pricing defaultable bonds from an information based perspective
- INFORMATION-BASED ASSET PRICING
- A comprehensive structural model for defaultable fixed-income bonds
- A defaultable bond model with cyclical fluctuations in the spread process
- MODULATED INFORMATION FLOWS IN FINANCIAL MARKETS
- Information-based trading
- Lévy random bridges and the modelling of financial information
- On the pricing of defaultable bonds using the framework of barrier options
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