The analysis of corporate bond valuation under an infinite dimensional compound Poisson framework

DOI10.1155/2014/282185zbMath1406.91477OpenAlexW2025989050WikidataQ59037580 ScholiaQ59037580MaRDI QIDQ1723751

Sheng Fan

Publication date: 14 February 2019

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/282185

zbMATH Keywords

corporate bond valuationcompound Poisson framework

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Corporate finance (dividends, real options, etc.) (91G50)

Cites Work

• Stochastic calculus for finance. II: Continuous-time models.
• A stochastic string with a compound Poisson process
• MCMC ESTIMATION OF LÉVY JUMP MODELS USING STOCK AND OPTION PRICES
• THE TERM STRUCTURE OF INTEREST RATES AS A GAUSSIAN RANDOM FIELD
• Characterizing Gaussian Models of the Term Structure of Interest Rates
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

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