Asymptotic expansion for term structures of defaultable bonds with non-Gaussian dependent innovations
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 | Schätztheorie | Estimation theory |
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