Dynamical analysis of corporate bonds based on the yield spread term-quality surface

DOI10.1007/S10690-006-9028-3zbMath1283.91191OpenAlexW2016583547MaRDI QIDQ2372255

Tomoaki Shouda

Publication date: 25 July 2007

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-006-9028-3

zbMATH Keywords

no arbitragehazard ratedefault riskspread riskcredit qualityMarkov state variableyield spread term-quality surface

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Cites Work

• Unnamed Item
• Hazard rate for credit risk and hedging defaultable contingent claims
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Term Structures of Credit Spreads with Incomplete Accounting Information
• Bond, futures and option evaluation in the quadratic interest rate model
• Credit risk: Modelling, valuation and hedging

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