Pricing of multiple defaultable bond

DOI10.1007/S11766-002-0013-YzbMath1037.91050OpenAlexW1973988486MaRDI QIDQ1847632

Zhihong Jian, Chulin Li

Publication date: 2002

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11766-002-0013-y

zbMATH Keywords

credit riskbond pricingdefaultable bondsfinancial mathematics

Mathematics Subject Classification ID

Portfolio theory (91G10) Credit risk (91G40)

Cites Work

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• Pricing the risks of default
• Martingales and stochastic integrals in the theory of continuous trading
• A Theory of the Term Structure of Interest Rates
• OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Bond Market Structure in the Presence of Marked Point Processes
• Changes of numéraire, changes of probability measure and option pricing
• An equilibrium characterization of the term structure

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