A default contagion model for pricing defaultable bonds from an information based perspective
Hidetoshi Nakagawa and Hideyuki Takada
| 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 | Optionspreistheorie | Option pricing theory | Anleihe | Bond | Stochastischer Prozess | Stochastic process | Insolvenz | Insolvency | Kreditderivat | Credit derivative | Martingal | Martingale | Ansteckungseffekt | Contagion effect | Unternehmensanleihe | Corporate bond |
| 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