Pricing of Multi‐Defaultable Bonds with a Two‐Correlated‐Factor Hull–White Model
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Publication:3445889
DOI10.1080/13504860600658943zbMATH Open1281.91173OpenAlexW2056234116MaRDI QIDQ3445889FDOQ3445889
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
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Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)
Cites Work
- The pricing of options and corporate liabilities
- A theory of the term structure of interest rates
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- An equilibrium characterization of the term structure
- Pricing interest-rate-derivative securities
- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
- Term Structures of Credit Spreads with Incomplete Accounting Information
- A General Formula for Valuing Defaultable Securities
- Optimal capital structure and endogenous default
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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