Pricing defaultable bonds: a middle-way approach between structural and reduced-form models

DOI10.1080/14697680600670754zbMath1136.91474OpenAlexW2161775783MaRDI QIDQ5484649

Lina El-Jahel, Lara Cathcart

Publication date: 21 August 2006

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680600670754

zbMATH Keywords

hazard ratecredit spreaddefaultable bondprobability of defaultstochastic term structure

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Computing the survival probability in the Madan–Unal credit risk model: application to the CDS market, Analytical pricing of defaultable discrete coupon bonds in unified two-factor model of structural and reduced form models, Using equity options to imply credit information, Valuation of the vulnerable option price based on mixed fractional Brownian motion, PDE models for the pricing of a defaultable coupon-bearing bond under an extended JDCEV model, Valuing risky debt: a new model combining structural information with the reduced-form approach, A revised version of the Cathcart \& El-Jahel model and its application to CDS market, On a convergent power series method to price defaultable bonds in a Vašíček-CIR model

Cites Work

• Numerical inversion of the Laplace transform: a survey and comparison of methods
• A Theory of the Term Structure of Interest Rates
• Term Structures of Credit Spreads with Incomplete Accounting Information
• Numerical Inversion of Laplace Transforms by Relating Them to the Finite Fourier Cosine Transform
• New quadrature formulas for the numerical inversion of the Laplace transform