A two-factor reduced-form model on the instantaneous spread with jump risks is developed, where there exists the correlation between the spot interest rate and the instantaneous spread.
A two-factor reduced-form model on the instantaneous spread with jump risks is developed, where there exists the correlation between the spot interest rate and the instantaneous spread.
摘要假定即时利差过程存在跳风险并与无风险的即时利率相关，建立了两因素信用价差简化模型。