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Modeling defaultable bonds with mean-reverting log-normal spread: a quasi closed-form solution

Cortina, Elsa Aurora · Asociación Argentina de Mecánica Computacional · 2008

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Author / responsible party
Cortina, Elsa Aurora
Publisher
Asociación Argentina de Mecánica Computacional
Year
2008
ISSN
1666-6070
ISSN
1666-6070
Language
English

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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 simplifying assumptions we obtain an explicit solution for zero recovery in terms of the confluent hypergeometric functions. Fil: Cortina, Elsa Aurora. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Saavedra 15. Instituto Argentino de Matemática Alberto Calderon; Argentina

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APA 7

Cortina, E. A. (2008). Modeling defaultable bonds with mean-reverting log-normal spread: a quasi closed-form solution. http://hdl.handle.net/11336/19486

MLA

Cortina, Elsa Aurora. "Modeling defaultable bonds with mean-reverting log-normal spread: a quasi closed-form solution." 2008. http://hdl.handle.net/11336/19486.

Chicago

Cortina, Elsa Aurora. 2008. "Modeling defaultable bonds with mean-reverting log-normal spread: a quasi closed-form solution.". http://hdl.handle.net/11336/19486.

Harvard

Cortina, E. A. 2008, Modeling defaultable bonds with mean-reverting log-normal spread: a quasi closed-form solution, Asociación Argentina de Mecánica Computacional, available at: http://hdl.handle.net/11336/19486 [Accessed 8 Aug. 2026].

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Title
Modeling defaultable bonds with mean-reverting log-normal spread: a quasi closed-form solution
Author / contributors
Cortina, Elsa Aurora
Publisher
Asociación Argentina de Mecánica Computacional
Publication year
2008
ISSN
1666-6070
ISSN
1666-6070
Language
English

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https://purl.org/becyt/ford/5.2; https://purl.org/becyt/ford/5
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