The analysis of corporate bond valuation under an infinite dimensional compound Poisson framework

DOI10.1155/2014/282185zbMATH Open1406.91477OpenAlexW2025989050WikidataQ59037580 ScholiaQ59037580MaRDI QIDQ1723751FDOQ1723751

Authors: Sheng Fan 

Publication date: 14 February 2019

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/282185

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zbMATH Keywords

corporate bond valuationcompound Poisson framework

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Corporate finance (dividends, real options, etc.) (91G50) Stopping times; optimal stopping problems; gambling theory (60G40)

Cites Work

• Stochastic calculus for finance. II: Continuous-time models.
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• THE TERM STRUCTURE OF INTEREST RATES AS A GAUSSIAN RANDOM FIELD
• Characterizing Gaussian Models of the Term Structure of Interest Rates
• MCMC ESTIMATION OF LÉVY JUMP MODELS USING STOCK AND OPTION PRICES
• A stochastic string with a compound Poisson process

Cited In (4)

• Title not available (Why is that?)
• Evaluating corporate bonds with complicated liability structures and bond provisions
• Dynamical analysis of corporate bonds based on the yield spread term-quality surface
• Title not available (Why is that?)

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