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A Markovian Defaultable Term Structure Model with State Dependent Volatilities [PDF]

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The defaultable forward rate is modeled as a jump diffusion process within the Schonbucher (2000, 2003) general Heath, jarrow and Morton (1992) framework where jumps in the defaultable term structure f d(t, T) cause jumps and defaults to the defaultable ...
Christina Nikitopoulos-Sklibosios   +2 more
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