Nicola Bruti-Liberati

affiliation not provided to SSRN

SCHOLARLY PAPERS

1

DOWNLOADS

48

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (1)

1.

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) - Finance Discipline Group and University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads 48 (442,900)

Abstract:

Loading...

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