AN EXTENSION OF THE BRODY–HUGHSTON–MACRINA APPROACH TO MODELING OF DEFAULTABLE BONDS

DOI10.1142/S0219024907004263zbMath1136.91487OpenAlexW2091290955MaRDI QIDQ5297239

Marek Rutkowski, Nannan Yu

Publication date: 18 July 2007

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024907004263

zbMATH Keywords

credit riskterm structuredefaultable bond

Mathematics Subject Classification ID

Related Items (8)

Dam rain and cumulative gain ⋮ HEAT KERNEL INTEREST RATE MODELS WITH TIME-INHOMOGENEOUS MARKOV PROCESSES ⋮ A default contagion model for pricing defaultable bonds from an information based perspective ⋮ INFORMATION-BASED ASSET PRICING ⋮ CONDITIONAL DENSITY MODELS FOR ASSET PRICING ⋮ MODULATED INFORMATION FLOWS IN FINANCIAL MARKETS ⋮ Lévy random bridges and the modelling of financial information ⋮ Lévy information and the aggregation of risk aversion

Cites Work

• Martingale methods in financial modelling.
• Credit risk: Modelling, valuation and hedging

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