Stochastic recovery rate: Impact of pricing measure's choice and financial consequences on single-name products

Paolo Gambetti, Genevière Gauthier and Frédéric Vrins

No 3060, LIDAM Reprints CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Date: 2018-01-01
Note: In : M. Mili, F. di Petro and R. Sameniego-Medina (eds.), New Mehtods in Fixed Income Modelling, Contributions to Management Science. Springer, 2018, p. 181-203.
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