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

DOI10.1155/2014/282185MaRDI QIDQ1723751zbMATH OpenOpenAlexWikidataFDO

Authors Sheng Fan

Publication date 14 February 2019

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

Copyright license Creative Commons Attribution 3.0 Unported

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)

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

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