Closed-Form Solution for Defaultable Bond Options under a Two-Factor Gaussian Model for Risky Rates Modeling

The Journal of Derivatives, Vol. 28, Issue 2, Winter 2020


Vincenzo Russo

Assicurazioni Generali

Rosella Giacometti

University of Bergamo in Bergamo

Frank J. Fabozzi

EDHEC Business School

The Journal of Derivatives, Vol. 28, Issue 2, Winter 2020

Type: Academic publication
Date: le 01/12/2020
Research Cluster : Finance
Source : The Journal of Derivatives

See Also

The FIR-PRI Awards “Finance & Sustainability” prize for “best pedagogical innovation”: preparing future generations to fight climate change.
- 18-10-2021
At EDHEC, we want to take part in the fight against climate change. Through our...
Stanford Summer Program: one of EDHEC’s opportunities to grab
- 14-10-2021
Shantanu Khandelwal, Master 2 student had the opportunity to join the selective...
Immersion at Station F for start-up challenge finalists !
- 13-10-2021
Devised for students with start-up projects on the Pre-Master and Master 1 years of the...
Financing your MBA - are you eligible for a scholarship?
- 12-10-2021
How to finance your Global MBA abroad is a critical question you need to think about...