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Modeling of Market Rates

  • Chapter
Credit Risk: Modeling, Valuation and Hedging

Part of the book series: Springer Finance ((FINANCE))

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Abstract

In Chap. 13, we presented an approach to the modeling of defaultable term structure based on the Heath-Jarrow-Morton modeling methodology. As the underlying building blocks that served to produce a model of default-free and defaultable term structures, we have used there the dynamics of instantaneous, continuously compounded, forward interest rates.

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Authors and Affiliations

  1. Applied Mathematics Department, Illinois Institute of Technology, Engineering 1 Building, 10 West 32nd Street, 60616, Chicago, IL, USA

    Tomasz R. Bielecki

  2. Faculty of Mathematics and Information Science, Politechnika Warszawska, pl. Politechniki 1, 00-661, Warszawa, Poland

    Marek Rutkowski

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Bielecki, T.R., Rutkowski, M. (2004). Modeling of Market Rates. In: Credit Risk: Modeling, Valuation and Hedging. Springer Finance. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-04821-4_15

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