Rating based Lévy Libor model
Ernst Eberlein; Zorana Grbac
| Year of publication: |
2013
|
|---|---|
| Authors: | Eberlein, Ernst ; Grbac, Zorana |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 23.2013, 4, p. 591-626
|
| Subject: | credit risk | ratings | time-inhomogeneous Lévy process | Libor | conditional Markov chain | Markov-Kette | Markov chain | Kreditrisiko | Credit risk | Stochastischer Prozess | Stochastic process | Zinsstruktur | Yield curve | Zinsderivat | Interest rate derivative | Kreditwürdigkeit | Credit rating | Optionspreistheorie | Option pricing theory |
| 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/10010187684