Pricing of defaultable securities associated with recovery rate under the stochastic interest rate driven by fractional Brownian motion (Q1738521)
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scientific article; zbMATH DE number 7045970
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing of defaultable securities associated with recovery rate under the stochastic interest rate driven by fractional Brownian motion |
scientific article; zbMATH DE number 7045970 |
Statements
Pricing of defaultable securities associated with recovery rate under the stochastic interest rate driven by fractional Brownian motion (English)
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18 April 2019
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counterparty risk
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defaultable bond
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fractional Brownian motion
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recovery rate
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Vasicek model
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