A Libor Market Model with Default Risk
Year of publication: |
2000
|
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Authors: | Schönbucher, Philipp J. |
Publisher: |
Bonn : University of Bonn, Bonn Graduate School of Economics (BGSE) |
Subject: | Default Risk | Libor Market Model | Credit Derivatives | Default Swap | Asset Swap | Default Swaption |
Series: | Bonn Econ Discussion Papers ; 15/2001 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 869503855 [GVK] hdl:10419/78414 [Handle] RePEc:zbw:bonedp:152001 [RePEc] |
Classification: | G13 - Contingent Pricing; Futures Pricing |
Source: |
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Schönbucher, Philipp J., (2000)
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