Defaultable Bond Markets with Jumps

DOI10.1080/07362994.2012.649623zbMath1257.91055OpenAlexW2025135405MaRDI QIDQ5388160

Michael Kohlmann, Dewen Xiong

Publication date: 18 April 2012

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2012.649623

zbMATH Keywords

systems of BSDEsdefaultable bonds marketHJM and CIR models with jumps

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80)

Related Items

Modeling the Forward CDS Spreads with Jumps, The dynamic spread of the forward CDS with general random loss

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