Default risk and derivative products
From MaRDI portal
Publication:4541531
DOI10.1080/13504869600000003zbMath1097.91521OpenAlexW1976503476MaRDI QIDQ4541531
No author found.
Publication date: 1996
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/13504869600000003
Related Items
Two frameworks for pricing defaultable derivatives, An integrated pricing model for defaultable loans and bonds, Credit risk analysis of mortgage loans: An application to the Italian market, A pricing model for secondary market yield based floating rate notes subject to default risk., Corporate valuation, capital structure and risk management: a stochastic DCF approach., On asset allocation for a threshold model with dependent returns
Cites Work
- The Pricing of Options and Corporate Liabilities
- Pricing the risks of default
- Martingales and arbitrage in multiperiod securities markets
- Recursive valuation of defaultable securities and the timing of resolution of uncertainty
- A Theory of the Term Structure of Interest Rates
- DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS
- A new integral equation for the evaluation of first-passage-time probability densities
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Hedging quantos, differential swaps and ratios
- An equilibrium characterization of the term structure
- Option pricing: A simplified approach
