Using Utility Functions to Model Risky Bonds

DOI10.1080/13504860600951652zbMATH Open1186.91192OpenAlexW2017626383MaRDI QIDQ5310698FDOQ5310698

Authors: Joanna Goard 

Publication date: 11 October 2007

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

Full work available at URL: https://doi.org/10.1080/13504860600951652

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zbMATH Keywords

utility functionsdefaultable bondsrisky bonds

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• The pricing of options and corporate liabilities
• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• Pricing interest-rate-derivative securities
• Title not available (Why is that?)
• Symmetries and differential equations
• ON UTILITY-BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS
• Products of trees for investment analysis
• New solutions to the bond-pricing equation via Lie's classical method
• Derivative pricing based on local utility maximization
• Comparison of the performance of a time‐dependent short‐interest rate model with time‐independent models

Cited In (1)

• A NOTE ON RISKY BOND VALUATION

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