Dynamic interest rate and credit risk models
This thesis studies the pricing of Treasury bonds, the pricing of corporate bonds and the modelling of portfolios of defaultable debt. By drawing on the related literature, Chapter 1 provides economic background and motivation for the study of each of these topics. Chapter 2 studies the use of Gauss...
| Main Author: | |
|---|---|
| Other Authors: | |
| Published: |
Imperial College London
2011
|
| Subjects: | |
| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.534986 |