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 … jump-diffusion extension of a HJM type framework
are derived. Thus, by establishing a modelling framework fully
under the … forward rates, jump-diffusion processes,
growth optimal portfolio, real-world pricing.
1 Introduction
This paper considers …