Defaultable term structures driven by semimartingales
Sandrine Gümbel and Thorsten Schmidt
| Year of publication: |
2021
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|---|---|
| Authors: | Gümbel, Sandrine ; Schmidt, Thorsten |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 24.2021, 6/7, p. 1-27
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| Subject: | Credit risk | arbitrage | HJM | forward rate | default compensator | large financial market | recovery | term structure model | stochastic discontinuities | Zinsstruktur | Yield curve | Kreditrisiko | Stochastischer Prozess | Stochastic process | Derivat | Derivative | Insolvenz | Insolvency | Arbitrage | Optionspreistheorie | Option pricing theory | Martingal | Martingale | Finanzmarkt | Financial market | Arbitrage Pricing | Arbitrage pricing | Risikoprämie | Risk premium |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024921500321 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012807871