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Pricing credit linked financial instruments. Theory and empirical evidence - MaRDI portal

Pricing credit linked financial instruments. Theory and empirical evidence

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Publication:5960178

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zbMath0988.91037MaRDI QIDQ5960178

Bernd Schmid

Publication date: 11 April 2002

Published in: Lecture Notes in Economics and Mathematical Systems (Search for Journal in Brave)

zbMATH Keywords

portfolio optimization credit risk pricing credit spread defaultable term structure interest rate dynamics short rate uncertainty index

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Microeconomic theory (price theory and economic markets) (91B24)

Related Items (1)

A HYBRID-FORM MODEL FOR THE PREPAYMENT-RISK-NEUTRAL VALUATION OF MORTGAGE-BACKED SECURITIES

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