Pricing of Defaultable Securities under Stochastic Interest

DOI10.1007/978-3-540-69532-5_14MaRDI QIDQ3528739zbMATH OpenOpenAlexFDO

Authors N. Kordzakhia, A. Novikov

Publication date 17 October 2008

Published in Mathematical Control Theory and Finance (Search for Journal in Brave)

Full work available at URL https://www.uts.edu.au/sites/default/files/qfr-archive-02/QFR-rp193.pdf

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Microeconomic theory (price theory and economic markets) (91B24)

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Cited in

(4)

• Pricing of defaultable securities associated with recovery rate under the stochastic interest rate driven by fractional Brownian motion
• Default risk in interest rate derivatives with stochastic volatility
• The martingale pricing for warrant bonds under stochastic interest rate
• Stochastic Interest Rate Modeling with Fixed Income Derivative Pricing

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