Alternative defaultable term structure models

DOI10.1007/s10690-009-9084-6zbMath1170.91488OpenAlexW2091614832MaRDI QIDQ841849

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

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

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)

Related Items

No Arbitrage Theory for Bond Markets

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Term structure modelling of defaultable bonds
• A benchmark approach to quantitative finance
• On Models of Default Risk
• PERFECT HEDGING OF INDEX DERIVATIVES UNDER A MINIMAL MARKET MODEL
• Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
• A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES
• Statistical Results on Control Variables with Application to Queueing Network Simulation
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Bond Market Structure in the Presence of Marked Point Processes
• AN EMPIRICAL INVESTIGATION OF THE FORWARD INTEREST RATE TERM STRUCTURE
• Arbitrage in continuous complete markets
• Real-world jump-diffusion term structure models
• A General Benchmark Model for Stochastic Jump Sizes
• AN ALTERNATIVE INTEREST RATE TERM STRUCTURE MODEL
• Discrete credit barrier models
• A general characterization of one factor affine term structure models