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A tractable LIBOR model with default risk

Zorana Grbac; Antonis Papapantoleon
Year of publication:
2013
Authors: Grbac, Zorana ; Papapantoleon, Antonis
Published in:
Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9679, ZDB-ID 2389728-4. - Vol. 7.2013, 2, p. 203-227
Subject: Kreditrisiko | Credit risk | Zinsderivat | Interest rate derivative | Zinsstruktur | Yield curve | Optionspreistheorie | Option pricing theory | Arbitrage Pricing | Arbitrage pricing | Derivat | Derivative
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