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- W3124274295 abstract "To construct a no-arbitrage defaultable bond market, we work on the state price density framework. Using the heat kernel approach (HKA for short) with the killing of a Markov process, we construct a single defaultable bond market that enables an explicit expression of a defaultable bond and credit spread under quadratic Gaussian settings. Some simulation results show that the model is not only tractable but realistic." @default.
- W3124274295 created "2021-02-01" @default.
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- W3124274295 date "2011-03-23" @default.
- W3124274295 modified "2023-09-27" @default.
- W3124274295 title "Defaultable Bonds via HKA" @default.
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- W3124274295 doi "https://doi.org/10.48550/arxiv.1103.4541" @default.
- W3124274295 hasPublicationYear "2011" @default.
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