Pricing of Multi‐Defaultable Bonds with a Two‐Correlated‐Factor Hull–White Model

DOI10.1080/13504860600658943zbMath1281.91173OpenAlexW2056234116MaRDI QIDQ3445889

Leonard Tchuindjo

Publication date: 7 June 2007

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860600658943

zbMATH Keywords

PDECox processcredit spreaddefaultable bondHull-White model

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

A contagion process with self-exciting jumps in credit risk applications ⋮ Closed-form solutions for pricing credit-risky bonds and bond options ⋮ Asymptotic analysis for one-name credit derivatives ⋮ Pricing credit-risky bonds and spread options modelling credit-spread term structures with two-dimensional Markov-modulated jump-diffusion ⋮ Valuation of credit derivatives with multiple time scales in the intensity model

Cites Work

• The Pricing of Options and Corporate Liabilities
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Optimal capital structure and endogenous default
• A Theory of the Term Structure of Interest Rates
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Term Structures of Credit Spreads with Incomplete Accounting Information
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities
• A General Formula for Valuing Defaultable Securities

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