Search Results - subject:"defaultable forward rates"

Markovian Defaultable HJM Term Structure Models with Unspanned Stochastic Volatility

Chiarella, Carl; Maina, Samuel Chege; … - Finance Discipline Group, Business School - 2010

This paper presents a class of defaultable term structure models within the HJM framework with stochastic volatility. Under certain volatility specifications, the model admits finite dimensional Markovian structures and consequently provides tractable solutions for interest rate derivatives. We...

Persistent link: https://www.econbiz.de/10008483768

Alternative Defaultable Term Structure Models

Bruti-Liberati, Nicola; Nikitopoulos-Sklibosios, Christina - Finance Discipline Group, Business School - 2009

, the real-world dynamics of the instantaneous defaultable forward rates under a jump-diffusion extension of a HJM type …-neutral probability measure is not required. In particular, the real-world dynamics of the instantaneous defaultable forward rates under a … novelty of this result is that we obtain analogous dynamics of the defaultable forward rates, as for instance derived by Sch …

Persistent link: https://www.econbiz.de/10004984578