Term structure modelling of defaultable bonds
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Cites work
- scientific article; zbMATH DE number 4034749 (Why is no real title available?)
- scientific article; zbMATH DE number 45955 (Why is no real title available?)
- A Note on the Stability of Lognormal Interest Rate Models and the Pricing of Eurodollar Futures
- A theory of the term structure of interest rates
- Bond Market Structure in the Presence of Marked Point Processes
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS
- OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS
- Option pricing when underlying stock returns are discontinuous
- Recursive valuation of defaultable securities and the timing of resolution of uncertainty
- Technical Note—An Inequality for the Variance of Waiting Time under a General Queuing Discipline
- The pricing of options and corporate liabilities
- Towards a general theory of bond markets
Cited in
(37)- scientific article; zbMATH DE number 2150980 (Why is no real title available?)
- An Integral-Equation Approach for Defaultable Bond Prices with Application to Credit Spreads
- Dynamic defaultable term structure modeling beyond the intensity paradigm
- scientific article; zbMATH DE number 2101245 (Why is no real title available?)
- The Power-Series Algorithm Applied to the Shortest-Queue Model
- scientific article; zbMATH DE number 1222802 (Why is no real title available?)
- Pricing CDO tranches in an intensity based model with the mean reversion approach
- Credit risk and asymmetric information: a simplified approach
- Modelling the evolution of credit spreads using the Cox process within the HJM framework: a CDS option pricing model
- Multiscale analysis on the pricing of intensity-based defaultable bonds
- Pricing defaultable bonds in a Markov modulated market
- Default propensity implicit in pulled to par V@R for bonds
- How to invest optimally in corporate bonds: a reduced-form approach
- A general framework for term structure models driven by Lévy processes
- A contagion process with self-exciting jumps in credit risk applications
- Longevity risk management and shareholder value for a life annuity business
- An integrated pricing model for defaultable loans and bonds
- On the simulation of portfolios of interest rate and credit risk sensitive securities
- Structural default model with mutual obligations
- General dynamic term structures under default risk
- A comprehensive structural model for defaultable fixed-income bonds
- Multiscale Intensity Models for Single Name Credit Derivatives
- Inside the EMs risky spreads and CDS-sovereign bonds basis
- Multiple ratings model of defaultable term structure.
- Pricing of defaultable bonds with log-normal spread: development of the model and an application to Argentinean and Brazilian bonds during the Argentine crisis
- Pricing extreme mortality risk in the wake of the COVID-19 pandemic
- Credit risk and contagion via self-exciting default intensity
- On the term structure of interest rates and the risk of default: an analytical approach
- Valuation of credit derivatives with multiple time scales in the intensity model
- Asymptotic analysis for one-name credit derivatives
- Structural recovery of face value at default
- QUADRATIC TERM STRUCTURE MODELS FOR RISK‐FREE AND DEFAULTABLE RATES
- The Defaultable Lévy Term Structure: Ratings and Restructuring
- Defaultable Bond markets with jumps
- Alternative defaultable term structure models
- Consistent dynamic affine mortality models for longevity risk applications
- The financial impact of carbon emissions on power utilities under climate scenarios
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