Open AccessA Jump-Diffusion Approach to Modeling Credit Risk and Valuing Defaultable Securities
Author(s) -
Chun Zhou
Publication year - 1997
Publication title -
finance and economics discussion series
Language(s) - English
Resource type - Journals
eISSN - 2767-3898
pISSN - 1936-2854
DOI - 10.17016/feds.1997.15
Subject(s) - stylized fact , jump diffusion , credit risk , econometrics , jump , economics , credit valuation adjustment , diffusion , credit spread (options) , value (mathematics) , financial economics , actuarial science , mathematics , statistics , thermodynamics , credit reference , macroeconomics , physics , quantum mechanics