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

DOI10.1155/2014/282185MaRDI QIDQ1723751zbMATHOpenAlexWikidataFDO

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

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)

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Cites work

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

Cited in

(4)

• Dynamical analysis of corporate bonds based on the yield spread term-quality surface
• Evaluating corporate bonds with complicated liability structures and bond provisions
• scientific article; zbMATH DE number 5260096 (Why is no real title available?)
• scientific article; zbMATH DE number 1536472 (Why is no real title available?)

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