Rating based lévy libor model

Mathematical Finance

Volumn 23, Issue 4, 2013, Pages 591-626

  Eberlein, Ernst ^a   Grbac, Zorana ^b  

^a UNIVERSITY OF FREIBURG   (Germany)

^b UNIVERSITÉ D EVRY VAL D ESSONNE   (France)

Author keywords

Conditional Markov chain; Credit risk; Libor; Ratings; Time inhomogeneous L vy process

Indexed keywords

EID: 84881342449     PISSN: 09601627     EISSN: 14679965     Source Type: Journal    
DOI: 10.1111/j.1467-9965.2011.00514.x     Document Type: Article

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