An Integral Equation Approach for Bond Prices with Applications to Credit Spreads

DOI10.1142/9789811202391_0110zbMath1454.91281OpenAlexW3080492452MaRDI QIDQ5139551

Yu-Ting Chen, Cheng-Few Lee, Yuan-Chung Sheu

Publication date: 9 December 2020

Published in: Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789811202391_0110

zbMATH Keywords

bond pricecredit spreadjump diffusiondefault barrierwrite-down function

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integral equations (60H20) Credit risk (91G40) Jump processes on discrete state spaces (60J74)

This page was built for publication: An Integral Equation Approach for Bond Prices with Applications to Credit Spreads