Markovian Quadratic Term Structure Models For Risk-free And Defaultable Rates
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More about this item
KeywordsQuadratic term structure models; option pricing; defaultable rates; time-homogenous Markov processes;
- C39 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Other
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2003-04-09 (All new papers)
- NEP-FMK-2003-04-09 (Financial Markets)
- NEP-MAC-2003-04-09 (Macroeconomics)
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