Bruti-Liberati, Nicola; Nikitopoulos-Sklibosios, Christina - Finance Discipline Group, Business School - 2009
-neutral models. Using as numeraire the growth optimal portfolio, defaultable interest rate derivatives are priced under the real … expressions for the prices of defaultable derivatives under the assumption of independence between the discounted growth optimal … portfolio and the default-adjusted short rate. These expressions are then used in a more general model as control variates for …