• RecordNumber
    104
  • Author

    ERNST EBERLEIN AND FEHMI ¨OZKAN

  • Title of Article

    The Defaultable Lévy Term Structure: Ratings and Restructuring

  • Title Of Journal
    Mathematical Finance
  • Publication Year
    2003
  • Volum
    13
  • Issue Number
    2
  • Page
    277–300
  • Keywords
    default risk , Lévy processes , term structure of interest rates , migration process , ratings , restructuring , market price of risk
  • Notes
    براي دانلود و مشاهده مقاله به قسمت لينكهاي مرتبط مراجعه نماييد
  • Abstract
    We introduce the intensity-based defaultable Lévy term structure model. It generalizes the default-free Lévy term structure model by Eberlein and Raible, and the intensity-based defaultable Heath-Jarrow-Morton approach of Bielecki and Rutkowski. Furthermore, we include the concept of multiple defaults, based on Schönbucher, within this generalization.
  • URL
    http://onlinelibrary.wiley.com/doi/10.1111/1467-9965.00017/full,/DL/Data Entry/DataEntryForm/EnterDocInfo.aspx,/DL/Data Entry/NewEdit/Documents/Math_English_Electronic_Articles_EditDoc_925.aspx
    • Link To Document
    https://math.iranlibs.ir/dl/search/default.aspx?Term=104&Field=0&DTC=14