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Markovian systems of defaultable Heath-Jarrow-Morton models and applications : 부도위험이 있는 Heath-Jarrow-Morton 모형의 마코프 시스템과 응용에 대해서
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- Authors
- Advisor
- 최형인
- Issue Date
- 2003
- Publisher
- 서울대학교 대학원
- Keywords
- 부도위험 선도 이자율 ; Defaultable forward rate ; 마코프 변환 ; Markovian transform ; Heath-Jarrow-Morton 모형 ; Heath-jarrow-morton models ; 점프 디퓨전 프로세스 ; Jump diffusion process ; Feynman-Kac 정리 ; Feynman-kac theorem
- Description
- Thesis (doctoral)--서울대학교 대학원 :수리과학부,2003.
- Language
- English
- URI
- http://dcollection.snu.ac.kr:80/jsp/common/DcLoOrgPer.jsp?sItemId=000000058651
https://hdl.handle.net/10371/19917
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