AN EXTENSION OF THE BRODY–HUGHSTON–MACRINA APPROACH TO MODELING OF DEFAULTABLE BONDS

DOI10.1142/S0219024907004263MaRDI QIDQ5297239zbMATH OpenOpenAlexFDO

Authors Marek Rutkowski, Nannan Yu

Publication date 18 July 2007

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

Full work available at URL https://doi.org/10.1142/s0219024907004263

zbMATH Keywords

term structurecredit riskdefaultable bond

Mathematics Subject Classification ID

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Cites work

• Credit risk: Modelling, valuation and hedging
• Martingale methods in financial modelling.

Cited in

(8)

• Beyond hazard rates: a new framework for credit-risk modelling
• CONDITIONAL DENSITY MODELS FOR ASSET PRICING
• Information-based approach: pricing of a credit risky asset in the presence of default time
• A default contagion model for pricing defaultable bonds from an information based perspective
• A comprehensive structural model for defaultable fixed-income bonds
• A defaultable bond model with cyclical fluctuations in the spread process
• Information-based trading
• On the pricing of defaultable bonds using the framework of barrier options

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