Chiarella, Carl; Fanelli, Viviana; Musti, Silvana - 2008
Inthispaperasimulationapproachfordefaultableyieldcurvesisdevelopedwithin
the Heath et al. (1992) framework. The default event is modelled using the Cox pro-
cess where the stochastic … structure models existing in
the literature, such as Cox et al. (985b) and Heath et al. (1992) can be used to model the …-free rate process and use the Heath et al. (1992)
approach to obtain the arbitrage-free drift restriction. By using the …