General dynamic term structures under default risk
نویسندگان
چکیده
منابع مشابه
General Dynamic Term Structures under Default Risk
We consider the problem of modelling the term structure of bonds subject to default risk, under minimal assumptions on the default time. In particular, we do not assume the existence of a default intensity and we therefore allow for the possibility of default at predictable times. It turns out that this requires the introduction of an additional term to the forward-rate approach by Heath, Jarro...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2018
ISSN: 0304-4149
DOI: 10.1016/j.spa.2017.11.003