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RecordNumber
104
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Author
ERNST EBERLEIN AND FEHMI ¨OZKAN
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Title of Article
The Defaultable Lévy Term Structure: Ratings and Restructuring
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Title Of Journal
Mathematical Finance
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Publication Year
2003
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Volum
13
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Issue Number
2
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Page
277–300
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Keywords
default risk , Lévy processes , term structure of interest rates , migration process , ratings , restructuring , market price of risk
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Notes
براي دانلود و مشاهده مقاله به قسمت لينكهاي مرتبط مراجعه نماييد
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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.
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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
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Link To Document :
