Bruti-Liberati, Nicola; Nikitopoulos-Sklibosios, Christina - Finance Discipline Group, Business School - 2009
-neutral models. Using as numeraire the growth optimal portfolio, defaultable interest rate derivatives are priced under the real-world …, the real-world dynamics of the instantaneous defaultable forward rates under a jump-diffusion extension of a HJM type … framework are derived. Thus, by establishing a modelling framework fully under the real-world probability measure, the challenge …