A defaultable bond model with cyclical fluctuations in the spread process

DOI10.1007/S10479-021-04471-9zbMath1492.91366OpenAlexW4205107693MaRDI QIDQ2673795

Tarik Bazgour, Federico Platania

Publication date: 13 June 2022

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-021-04471-9

zbMATH Keywords

Fourier seriesspreaddefaultable bondeconomic indicatorsinstantaneous default process

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• Default risks, interest rate spreads, and business cycles: Explaining the interest rate spread as a leading indicator

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