Artículos de revistas
Modeling defaultable bonds with mean-reverting log-normal spread: a quasi closed-form solution
Fecha
2008-12Registro en:
Cortina, Elsa Aurora; Modeling defaultable bonds with mean-reverting log-normal spread: a quasi closed-form solution; Asociación Argentina de Mecánica Computacional; Mecánica Computacional; 26; 8; 12-2008; 607-613
1666-6070
CONICET Digital
CONICET
Autor
Cortina, Elsa Aurora
Resumen
In this paper we describe a two factor model for a defaultable discount bond, assuming a mean reverting log-normal dynamics with bounded volatility for the instantaneous short rate spread. Under some simplifying assumptions we obtain an explicit solution for zero recovery in terms of the confluent hypergeometric functions.