Pricing defaultable bonds: a middle-way approach between structural and reduced-form models

DOI10.1080/14697680600670754MaRDI QIDQ5484649zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

hazard ratedefaultable bondcredit spreadprobability of defaultstochastic term structure

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A theory of the term structure of interest rates
• New quadrature formulas for the numerical inversion of the Laplace transform
• 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
• Term Structures of Credit Spreads with Incomplete Accounting Information

Cited in

(15)

• Analytical pricing of defaultable discrete coupon bonds in unified two-factor model of structural and reduced form models
• Valuation of the vulnerable option price based on mixed fractional Brownian motion
• 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
• scientific article; zbMATH DE number 7339180 (Why is no real title available?)
• 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
• Valuing risky debt: a new model combining structural information with the reduced-form approach
• scientific article; zbMATH DE number 5044694 (Why is no real title available?)
• On a convergent power series method to price defaultable bonds in a Vašíček-CIR model

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