Pricing of Multi‐Defaultable Bonds with a Two‐Correlated‐Factor Hull–White Model (Q3445889)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing of Multi‐Defaultable Bonds with a Two‐Correlated‐Factor Hull–White Model |
scientific article |
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Pricing of Multi‐Defaultable Bonds with a Two‐Correlated‐Factor Hull–White Model (English)
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7 June 2007
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PDE
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Cox process
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credit spread
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defaultable bond
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Hull-White model
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