IAM 02674
INSTITUTO ARGENTINO DE MATEMATICA ALBERTO CALDERON
Unidad Ejecutora - UE
artículos
Título:
odeling defaultable bonds with mean-reverting log-normal spread: a quasi closed-form solution
Autor/es:
ELSA CORTINA
Revista:
Publicaciones del Instituto Argentino de Matemática
Referencias:
Año: 2006
Resumen:
In this paper we describe a two factor model for a defaultable discount bond, assuming a mean reverting log-normal dynamics with bounded volatility for the instantaneous short rate spread. Under some simplified hipothesis, we obtain an explicit solution for zero recovery in terms of the confluent hypergeometric functions.
