Can I read Defaultable Bonds via HKA on EtoBox?

Defaultable Bonds via HKA by Inoue, Yuta; Tsuchiya, Takahiro is a scholarly article available to read on EtoBox.

What is Defaultable Bonds via HKA about?

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.

Author

Inoue, Yuta; Tsuchiya, Takahiro

Published

2011

Language

EN