Defaultable Bonds via HKA
Download full text from publisher
References listed on IDEAS
- Jeffery D Amato & Eli M Remolona, 2003. "The credit spread puzzle," BIS Quarterly Review, Bank for International Settlements, December.
- Joanne Kennedy & Phil Hunt & Antoon Pelsser, 2000. "Markov-functional interest rate models," Finance and Stochastics, Springer, vol. 4(4), pages 391-408.
- Jirô Akahori & Takahiro Tsuchiya, 2006.
"What is the Natural Scale for a Lévy Process in Modelling Term Structure of Interest Rates?,"
Asia-Pacific Financial Markets,
Springer;Japanese Association of Financial Economics and Engineering, vol. 13(4), pages 299-313, December.
- Jir^o Akahori & Takahiro Tsuchiya, 2006. "What is the natural scale for a L\'evy process in modelling term structure of interest rates?," Papers math/0612341, arXiv.org.
More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-04-02 (All new papers)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1103.4541. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators). General contact details of provider: http://arxiv.org/ .