Pricing a defaultable bond with a stochastic recovery rate

ISSN： 1469-7688

Source： Quantitative Finance, Vol.10, Iss.1, 2010-01, pp. : 49-58

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

Pricing distressed CDOs with stochastic recovery

By Höcht Stephan

Review of Derivatives Research, Vol. 13, Iss. 3, 2010-10 ,pp. : 219-244

Springer Publishing Company

Access to resources Recommend Favorite

Pricing CDOs with state-dependent stochastic recovery rates

By Amraoui Salah Cousot Laurent Hitier Sebastien Laurent Jean-Paul

Quantitative Finance, Vol. 12, Iss. 8, 2012-08 ,pp. : 1219-1240

Routledge Ltd

Access to resources Recommend Favorite

Bond pricing when the short-term interest rate follows a threshold process

By Lemke Wolfgang Archontakis Theofanis

Quantitative Finance, Vol. 8, Iss. 8, 2008-12 ,pp. : 811-822

Routledge Ltd

Access to resources Recommend Favorite

Arbitrage pricing of defaultable game options with applications to convertible bonds

By Bielecki Tomasz Crepey Stephane Jeanblanc Monique Rutkowski Marek

Quantitative Finance, Vol. 8, Iss. 8, 2008-12 ,pp. : 795-810

Routledge Ltd

Access to resources Recommend Favorite

Hazard rate for credit risk and hedging defaultable contingent claims

By Blanchet-Scalliet Christophette

Finance and Stochastics, Vol. 8, Iss. 1, 2004-01 ,pp. : 145-159

Springer Publishing Company

Access to resources Recommend Favorite