Alternative defaultable term structure models

DOI10.1007/S10690-009-9084-6zbMATH Open1170.91488OpenAlexW2091614832MaRDI QIDQ841849FDOQ841849

Authors: Nicola Bruti-Liberati, Christina Nikitopoulos Sklibosios, Eckhard Platen, Erik Schlögl 

Publication date: 18 September 2009

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10453/8281

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zbMATH Keywords

jump-diffusion processesdefaultable forward ratesgrowth optimal portfolioreal-world pricing

Mathematics Subject Classification ID

Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

Cites Work

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• Term structure modelling of defaultable bonds
• Discrete credit barrier models
• Real-world jump-diffusion term structure models
• A General Benchmark Model for Stochastic Jump Sizes
• A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES
• Exact scenario simulation for selected multi-dimensional stochastic processes
• PERFECT HEDGING OF INDEX DERIVATIVES UNDER A MINIMAL MARKET MODEL
• Statistical Results on Control Variables with Application to Queueing Network Simulation
• AN EMPIRICAL INVESTIGATION OF THE FORWARD INTEREST RATE TERM STRUCTURE
• AN ALTERNATIVE INTEREST RATE TERM STRUCTURE MODEL

Cited In (8)

• AN ALTERNATIVE INTEREST RATE TERM STRUCTURE MODEL
• Structural default model with mutual obligations
• No Arbitrage Theory for Bond Markets
• Title not available (Why is that?)
• Defaultable Bond markets with jumps
• Term structure modelling of defaultable bonds
• Real-world jump-diffusion term structure models
• QUADRATIC TERM STRUCTURE MODELS FOR RISK‐FREE AND DEFAULTABLE RATES

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