Valuation of dependent defaultable bonds : stochastic analysis of determinantal point processes
There are two parts in this thesis where both parts are self-contained. The first part of this thesis is on the valuation of dependent defaultable bonds under the assumption that the credit risk is of a reduced-form model, where the default time is defined as a single jump process. Our work is an...
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| Format: | Thesis |
| Language: | English |
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2014
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| Online Access: | http://hdl.handle.net/10356/61352 |