Pricing of Defaultable Bonds with Log-Normal Spread: Development of the Model and an Application to Argentinean and Brazilian Bonds During the Argentine Crisis

Author： Estrada Mariano   Cortina Elsa   FontÁn Constantino   Fiori Javier  

Publisher： Springer Publishing Company

ISSN： 1380-6645

Source： Review of Derivatives Research, Vol.8, Iss.1, 2005-06, pp. : 49-60

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

A comprehensive structural model for defaultable fixed-income bonds

By Agliardi Rossella  

Quantitative Finance, Vol. 11, Iss. 5, 2011-05 ,pp. : 749-762

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

Pricing inflation-linked bonds

By Falbo Paolo   Paris Francesco   Pelizzari Cristian  

Quantitative Finance, Vol. 10, Iss. 3, 2010-03 ,pp. : 279-293

Routledge Ltd

Access to resources Recommend Favorite

Log-normal continuous cascade model of asset returns: aggregation properties and estimation

By Bacry E.  

Quantitative Finance, Vol. 13, Iss. 5, 2013-05 ,pp. : 795-818

Routledge Ltd

Access to resources Recommend Favorite

A robust pricing of specific structured bonds with coupons

By Evgenidis Anastasios   Siriopoulos Costas  

The Journal of Risk Finance Incorporating Balance Sheet, Vol. 15, Iss. 3, 2014-05 ,pp. : 234-247

Emerald Group Publishing Ltd

Access to resources Recommend Favorite