Term structure of credit spreads with learning and anticipation effects

DOI10.1080/02522667.2011.10700067zbMath1218.91160OpenAlexW2316286926MaRDI QIDQ3020620

Shian-Chang Huang

Publication date: 4 August 2011

Published in: Journal of Information and Optimization Sciences (Search for Journal in Brave)

Full work available at URL: http://www.connectjournals.com/file_html_pdf/1026702H_12_JIOS_T31_32-2_pp461-491a.pdf

zbMATH Keywords

credit riskincomplete informationcredit spreadlearning effectanticipation effect

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Credit risk (91G40)

Cites Work

• Unnamed Item
• Martingales and arbitrage in multiperiod securities markets
• Recursive valuation of defaultable securities and the timing of resolution of uncertainty
• Conditioned stochastic differential equations: theory, examples and application to finance.
• Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches
• Term Structures of Credit Spreads with Incomplete Accounting Information
• Credit risk: Modelling, valuation and hedging

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