AN EXTENSION OF THE BRODY–HUGHSTON–MACRINA APPROACH TO MODELING OF DEFAULTABLE BONDS
Year of publication: |
2007
|
---|---|
Authors: | RUTKOWSKI, MAREK ; YU, NANNAN |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 10.2007, 03, p. 557-589
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Credit risk | term structure | defaultable bond |
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