Nicola Bruti-Liberati

affiliation not provided to SSRN

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Scholarly Papers (1)

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Alternative Defaultable Term Structure Models

Quantitative Finance Research Centre Research Paper No. 242
Number of pages: 33 Posted: 13 Nov 2012
affiliation not provided to SSRN, University of Technology Sydney - Business School, University of Technology, Sydney (UTS) - School of Finance and Economics and University of Technology Sydney (UTS) - School of Finance and Economics
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Abstract:

defaultable forward rates, jump-diffusion processes, growth optimal portfolio, real-world pricing