A default contagion model for pricing defaultable bonds from an information based perspective
Hidetoshi Nakagawa and Hideyuki Takada
| Year of publication: |
2023
|
|---|---|
| Authors: | Nakagawa, Hidetoshi ; Takada, Hideyuki |
| Subject: | Compensated jump martingales | Default contagion | Defaultable discount bond | Information-based approach | Stochastic differential equations with Jumps | Kreditrisiko | Credit risk | Optionspreistheorie | Option pricing theory | Anleihe | Bond | Stochastischer Prozess | Stochastic process | Insolvenz | Insolvency | Kreditderivat | Credit derivative | Martingal | Martingale | Ansteckungseffekt | Contagion effect | Unternehmensanleihe | Corporate bond |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2022.2138776 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013490963