A NOTE ON RISKY BOND VALUATION

DOI10.1142/S0219024900000656MaRDI QIDQ4522658zbMATH OpenOpenAlexFDO

Authors Cho-Hoi Hui, Chi-Fai Lo

Publication date 2 January 2001

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024900000656

zbMATH Keywords

credit riskcorporate bondcorporate bond price

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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Cites work

• A note on the valuation of risky corporate bonds
• An equilibrium characterization of the term structure

Cited in

(9)

• Using Utility Functions to Model Risky Bonds
• Valuation model of defaultable bond values in emerging markets
• The analysis of corporate bond valuation under an infinite dimensional compound Poisson framework
• VALUATION OF FLOATING RANGE NOTES IN LÉVY TERM‐STRUCTURE MODELS
• Evaluating corporate bonds with complicated liability structures and bond provisions
• Pricing corporate bond with dynamic default barrier based on a hybrid model
• Valuing catastrophe bonds involving credit risks
• Risky forward interest rates and swaptions: quantum finance model and empirical results
• Pricing corporate bonds with information dissymmetry under first-passage time approach

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