DEFAULTABLE TERM STRUCTURES DRIVEN BY SEMIMARTINGALES

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

zbMATH Keywords

credit riskarbitrageterm structure modelrecoveryforward rateHJMlarge financial marketdefault compensatorstochastic discontinuities

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Interest rates, asset pricing, etc. (stochastic models) (91G30) Credit risk (91G40)

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