Pricing defaultable bonds in a Markov modulated market

DOI10.1080/07362994.2012.668442MaRDI QIDQ2893288zbMATHOpenAlexFDO

Authors Tamal Banerjee, Mrinal K. Ghosh, Srikanth K. Iyer

Publication date 20 June 2012

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362994.2012.668442

zbMATH Keywords

structural approachdefaultable bondminimal martingale measurequadratic hedgingCredit spread

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Microeconomic theory (price theory and economic markets) (91B24) Stochastic models in economics (91B70)

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Cited in

(15)

• scientific article; zbMATH DE number 5044694 (Why is no real title available?)
• A Numerical Method to Price Defaultable Bonds Based on the Madan and Unal Credit Risk Model
• Hedging of defaultable claims in a Markov regime-switching model
• Bond pricing formulas for Markov-modulated affine term structure models
• Towards a general theory of bond markets
• Defaultable bond pricing using regime switching intensity model
• A simple novel approach to valuing risky zero coupon bond in a Markov regime switching economy
• Bond markets with stochastic volatility
• Pricing of discount bonds with a Markov switching regime
• Market implied volatilities for defaultable bonds
• scientific article; zbMATH DE number 2133129 (Why is no real title available?)
• A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES
• Pricing credit-risky bonds and spread options modelling credit-spread term structures with two-dimensional Markov-modulated jump-diffusion
• The pricing of defaultable bonds under a regime-switching jump-diffusion model with stochastic default barrier
• A defaultable bond model with cyclical fluctuations in the spread process

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