Market implied volatilities for defaultable bonds

DOI10.1007/s10479-018-3064-zzbMath1426.91277OpenAlexW2892607879MaRDI QIDQ2327695

Vincenzo Russo, Rosella Giacometti, Frank J. Fabozzi

Publication date: 15 October 2019

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-018-3064-z

zbMATH Keywords

credit default swap (CDS)Hull and White modelMerton modeldefaultable bonds' implied volatility

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items

Extracting implied volatilities from bank bonds, On a convergent power series method to price defaultable bonds in a Vašíček-CIR model

Uses Software

• RiskMetrics

Cites Work

• The Pricing of Options and Corporate Liabilities
• On Cox processes and credit risky securities
• A UNIFIED FRAMEWORK FOR PRICING CREDIT AND EQUITY DERIVATIVES
• Pricing Options on Defaultable Stocks*
• Pricing Interest-Rate-Derivative Securities