Modeling defaultable bonds with mean-reverting log-normal spread: a quasi closed-form solution

dc.creatorCortina, Elsa Aurora
dc.date.accessioned2017-07-04T18:21:02Z
dc.date.accessioned2018-11-06T11:09:30Z
dc.date.available2017-07-04T18:21:02Z
dc.date.available2018-11-06T11:09:30Z
dc.date.created2017-07-04T18:21:02Z
dc.date.issued2008-12
dc.identifierCortina, 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
dc.identifier1666-6070
dc.identifierhttp://hdl.handle.net/11336/19486
dc.identifierCONICET Digital
dc.identifierCONICET
dc.identifier.urihttp://repositorioslatinoamericanos.uchile.cl/handle/2250/1846538
dc.description.abstractIn 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.
dc.languageeng
dc.publisherAsociación Argentina de Mecánica Computacional
dc.relationinfo:eu-repo/semantics/altIdentifier/url/http://www.cimec.org.ar/ojs/index.php/mc/article/view/1259
dc.rightshttps://creativecommons.org/licenses/by-nc-sa/2.5/ar/
dc.rightsinfo:eu-repo/semantics/openAccess
dc.titleModeling defaultable bonds with mean-reverting log-normal spread: a quasi closed-form solution
dc.typeArtículos de revistas
dc.typeArtículos de revistas
dc.typeArtículos de revistas


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