Quadratic Term Structure Models for Risk-free and Defaultable Rates

Li Chen, Damir Filipovic, H. Vincent Poor

Publikation: Wissenschaftliche Fachzeitschrift › Originalbeitrag in Fachzeitschrift › Forschung › Begutachtung

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@article{d0826c120a464523a149e099f5385a58,

title = "Quadratic Term Structure Models for Risk-free and Defaultable Rates",

author = "Li Chen and Damir Filipovic and Poor, {H. Vincent}",

year = "2004",

month = feb,

day = "1",

language = "English",

volume = "14",

pages = "515 -- 536",

journal = "Mathematical Finance",

issn = "0960-1627",

publisher = "Wiley-Blackwell Publishing Ltd",

}