Empirical Evaluation of Hybrid Defaultable Bond Pricing Models

DOI10.1080/13504860701718430zbMath1142.91579OpenAlexW2031497092MaRDI QIDQ3523654

Bernd Schmid, S. Antes, Rudi Zagst, Unnamed Author

Publication date: 5 September 2008

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860701718430

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Related Items (2)

A multi-curve HJM factor model for pricing and risk management ⋮ Pricing credit derivatives under stochastic recovery in a hybrid model

Cites Work

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• On a measure of lack of fit in time series models
• A Test for Normality of Observations and Regression Residuals
• Pricing Interest-Rate-Derivative Securities
• A new look at the statistical model identification

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