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Indifference of Defaultable Bonds with Stochastic Intensity models
Credit Risk model Cox Process HJB equations
2010/10/19
The utility-based pricing of defaultable bonds in the case of stochastic intensity models of default risk is discussed. The Hamilton-Jacobi- Bellman (HJB) equations for the value functions is derived....
Defaultable bonds with an infinite number of Levy factors
Lévy processes defaultable bonds HJM postulate credit risk rating migration conditional Markov chains
2010/11/2
A market with defaultable bonds where the bond dynamics is in a Heath-Jarrow-Morton setting
and the forward rates are driven by an infinite number of Lévy factors is considered. The setting includes ...