DEFAULTABLE TERM STRUCTURES DRIVEN BY SEMIMARTINGALES
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Publication:5061485
DOI10.1142/S0219024921500321zbMath1492.91397arXiv2103.01577OpenAlexW3202389187MaRDI QIDQ5061485
Thorsten Schmidt, Sandrine Gümbel
Publication date: 11 March 2022
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2103.01577
credit riskarbitrageterm structure modelrecoveryforward rateHJMlarge financial marketdefault compensatorstochastic discontinuities
Generalizations of martingales (60G48) Interest rates, asset pricing, etc. (stochastic models) (91G30) Credit risk (91G40)
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