A default contagion model for pricing defaultable bonds from an information based perspective
Year of publication: |
2023
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Authors: | Nakagawa, Hidetoshi ; Takada, Hideyuki |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 23.2023, 1, p. 169-185
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Subject: | Compensated jump martingales | Default contagion | Defaultable discount bond | Information-based approach | Stochastic differential equations with Jumps | Kreditrisiko | Credit risk | Insolvenz | Insolvency | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | CAPM | Martingal | Martingale | Anleihe | Bond | Unternehmensanleihe | Corporate bond |
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