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ArticleTerm structure modelling of defaultable bonds

Philipp J. Sch�nbucher1998

Article1998

Term structure modelling of defaultable bonds

Philipp J. Sch�nbucher

119 citations·0/0 files stored·Review of Derivatives Research

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Stochastic processes and financial applications Financial Markets and Investment Strategies Credit Risk and Financial Regulations

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References

1973The Pricing of Options and Corporate Liabilities 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1985A Theory of the Term Structure of Interest Rates 1977An equilibrium characterization of the term structure 1976Option pricing when underlying stock returns are discontinuous 2005Stochastic Integration and Differential Equations 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 1999Modeling Term Structures of Defaultable Bonds

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2006Semi-Analytical Valuation of Basket Credit Derivatives in Intensity-Based Models 2000A Discrete-Time Approach to Arbitrage-Free Pricing of Credit Derivatives 2004A GENERAL FRAMEWORK FOR PRICING CREDIT RISK 2013Consistent dynamic affine mortality models for longevity risk applications 2007Firm heterogeneity and credit risk diversification 2003The Defaultable Lévy Term Structure: Ratings and Restructuring

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Details

Year1998

Typearticle

Published1998-12-01

VenueReview of Derivatives Research

ISSN-L1380-6645

Languageen

Citations119

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/bf01531334

openalex_workW1528364298

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2002Valuing Corporate Liabilities When the Default Threshold is Not an Absorbing Barrier

2002Valuation of Defaultable Claims — A Survey