A default contagion model for pricing defaultable bonds from an information based perspective
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Publication:6101028
DOI10.1080/14697688.2022.2138776zbMath1518.91301OpenAlexW4307827210MaRDI QIDQ6101028
Hidetoshi Nakagawa, Hideyuki Takada
Publication date: 20 June 2023
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2022.2138776
stochastic differential equations with jumpsdefault contagioninformation-based approachcompensated jump martingalesdefaultable discount bond
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