Dynamical analysis of corporate bonds based on the yield spread term-quality surface
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Publication:2372255
DOI10.1007/S10690-006-9028-3zbMATH Open1283.91191OpenAlexW2016583547MaRDI QIDQ2372255FDOQ2372255
Authors: Tomoaki Shouda 
Publication date: 25 July 2007
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10690-006-9028-3
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default riskhazard rateno arbitragespread riskcredit qualityMarkov state variableyield spread term-quality surface
Cites Work
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- Hazard rate for credit risk and hedging defaultable contingent claims
- Credit risk: Modelling, valuation and hedging
- Term Structures of Credit Spreads with Incomplete Accounting Information
- Title not available (Why is that?)
- Bond, futures and option evaluation in the quadratic interest rate model
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