Frank Gehmlich

University of Freiburg

Fahnenbergplatz

Freiburg, D-79085

Germany

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Dynamic Defaultable Term Structure Modeling Beyond the Intensity Paradigm

Mathematical Finance, Vol. 28, Issue 1, pp. 211-239, 2018
Number of pages: 29 Posted: 17 Jan 2018
Frank Gehmlich and Thorsten Schmidt
University of Freiburg and University of Freiburg
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Abstract:

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credit risk, HJM, forward rate, structural approach, reduced‐form approach, Azéma supermartingale, affine processes, filtering