Open AccessIs the jump-diffusion model a good solution for credit risk modelling? The case of convertible bonds
Author(s) -
Tim Xiao
Publication year - 2014
Publication title -
international journal of financial markets and derivatives
Language(s) - English
Resource type - Journals
eISSN - 1756-7149
pISSN - 1756-7130
DOI - 10.1504/ijfmd.2015.066436
Subject(s) - convertible bond , convertible , convertible arbitrage , jump diffusion , arbitrage , market neutral , jump , credit risk , portfolio , credit default swap , econometrics , economics , bond , financial economics , actuarial science , risk arbitrage , finance , arbitrage pricing theory , physics , structural engineering , capital asset pricing model , quantum mechanics , engineering
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