A collateralized loan’s loss under a quadratic Gaussian default intensity process
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Publication:5400664
DOI10.1080/14697688.2012.762459zbMath1282.91364OpenAlexW2055201270MaRDI QIDQ5400664
Satoshi Yamashita, Toshinao Yoshiba
Publication date: 4 March 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2012.762459
stochastic processesGaussian processescredit riskcontinuous-time modelscorrelation structuresdebt valuation
Cites Work
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- Transform Analysis and Asset Pricing for Affine Jump-diffusions
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- QUADRATIC TERM STRUCTURE MODELS FOR RISK‐FREE AND DEFAULTABLE RATES
- Design and Estimation of Quadratic Term Structure Models *
- Pricing a defaultable bond with a stochastic recovery rate
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