Abstract
Purpose: To provide a bond pricing framework that allows for dependency between the interest rate and default intensity processes which are assumed to follow mean-reverting jump diffusion processes.
Original language | English |
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Pages (from-to) | 56 |
Number of pages | 1 |
Journal | Expo 2012 Higher Degree Research : book of abstracts |
Publication status | Published - 2012 |
Event | Higher Degree Research Expo (8th : 2012) - Sydney Duration: 12 Nov 2012 → 13 Nov 2012 |
Keywords
- Jump diffusion processes
- Default intensity
- Cox process
- Copulas
- Corporate bond pricing