Pricing defaultable bonds: a middle-way approach between structural and reduced-form models
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Publication:5484649
DOI10.1080/14697680600670754zbMATH Open1136.91474OpenAlexW2161775783MaRDI QIDQ5484649FDOQ5484649
Authors: Lara Cathcart, Lina El-Jahel 
Publication date: 21 August 2006
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680600670754
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Cites Work
- A theory of the term structure of interest rates
- Term Structures of Credit Spreads with Incomplete Accounting Information
- Numerical Inversion of Laplace Transforms by Relating Them to the Finite Fourier Cosine Transform
- Numerical inversion of the Laplace transform: a survey and comparison of methods
- New quadrature formulas for the numerical inversion of the Laplace transform
Cited In (15)
- Valuation of the vulnerable option price based on mixed fractional Brownian motion
- Analytical pricing of defaultable discrete coupon bonds in unified two-factor model of structural and reduced form models
- Computing the survival probability in the Madan-Unal credit risk model: application to the CDS market
- Credit default swap spreads modeling and forecasting with a stochastic square-root three-factor model
- Title not available (Why is that?)
- PDE models for the pricing of a defaultable coupon-bearing bond under an extended JDCEV model
- A comprehensive structural model for defaultable fixed-income bonds
- Pricing corporate bonds with both expected and unexpected defaults
- Using equity options to imply credit information
- A Reduced-Form Model for Valuing Bonds with Make-Whole Call Provisions
- A revised version of the Cathcart \& El-Jahel model and its application to CDS market
- A comprehensive unified model of structural and reduced form type for defaultable fixed income bonds
- Title not available (Why is that?)
- Valuing risky debt: a new model combining structural information with the reduced-form approach
- On a convergent power series method to price defaultable bonds in a Vašíček-CIR model
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