Asymptotic expansion for term structures of defaultable bonds with non-Gaussian dependent innovations
Masakazu Miura; Kenichiro Tamaki; Takayuki Shiohama
| Year of publication: |
2013
|
|---|---|
| Authors: | Miura, Masakazu ; Tamaki, Kenichiro ; Shiohama, Takayuki |
| Published in: |
Asia-Pacific financial markets. - Dordrecht [u.a.] : Springer, ISSN 1387-2834, ZDB-ID 1431844-1. - Vol. 20.2013, 4, p. 311-344
|
| Subject: | Credit risk | Edgeworth expansion | Short rates | Term structure | Vasicek model | Kreditrisiko | Zinsstruktur | Yield curve | Optionspreistheorie | Option pricing theory | Anleihe | Bond | Schätztheorie | Estimation theory | Unternehmensanleihe | Corporate bond | Stochastischer Prozess | Stochastic process |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010345916