Pricing of Multi‐Defaultable Bonds with a Two‐Correlated‐Factor Hull–White Model

DOI10.1080/13504860600658943MaRDI QIDQ3445889zbMATH OpenOpenAlexFDO

Authors Leonard Tchuindjo

Publication date 7 June 2007

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/13504860600658943

zbMATH Keywords

PDECox processdefaultable bondHull-White modelcredit spread

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

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Cites work

• A General Formula for Valuing Defaultable Securities
• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Optimal capital structure and endogenous default
• Pricing interest-rate-derivative securities
• Term Structures of Credit Spreads with Incomplete Accounting Information
• The pricing of options and corporate liabilities

Cited in

(14)

• Pricing a defaultable bond with a stochastic recovery rate
• Closed-form solutions for pricing credit-risky bonds and bond options
• DEFAULTABLE DEBT PRICING IN MULTI-FACTOR MODELS
• The pricing of credit risky securities under stochastic interest rate model with default correlation.
• Asymptotic analysis for one-name credit derivatives
• A contagion process with self-exciting jumps in credit risk applications
• Pricing credit-risky bonds and spread options modelling credit-spread term structures with two-dimensional Markov-modulated jump-diffusion
• Pricing defaultable bonds with stochastic recovery under a hybrid model
• DEFAULTABLE TERM STRUCTURES DRIVEN BY SEMIMARTINGALES
• PDE models for the pricing of a defaultable coupon-bearing bond under an extended JDCEV model
• Valuation of credit derivatives with multiple time scales in the intensity model
• Pricing of multi-party guarantee corporate bonds in the context of stochastic interest rates
• Pricing corporate bonds with credit risk, liquidity risk, and their correlation
• On a convergent power series method to price defaultable bonds in a Vašíček-CIR model

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