Pricing the risks of default: a note on Madan and Unal

DOI10.1023/B:REDR.0000031177.45539.1DzbMATH Open1089.91035MaRDI QIDQ704014FDOQ704014

Authors: Peter Grundke, Karl O. Riedel 

Publication date: 12 January 2005

Published in: Review of Derivatives Research (Search for Journal in Brave)

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zbMATH Keywords

credit riskpartial differential equationdefault intensity

Mathematics Subject Classification ID

Credit risk (91G40)

Cited In (3)

• A Numerical Method to Price Defaultable Bonds Based on the Madan and Unal Credit Risk Model
• Computing the survival probability in the Madan-Unal credit risk model: application to the CDS market
• A jump to default extended CEV model: an application of Bessel processes

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