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A free boundary problem for corporate bond with credit rating migration · Study

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ArticleA free boundary problem for corporate bond with credit rating migration

Bei Hu2015

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Articlebronze2015

A free boundary problem for corporate bond with credit rating migration

Bei Hu · Jin Liang · Yuan Wu

33 citations·0/0 files stored·Journal of Mathematical Analysis and Applications

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Stochastic processes and financial applications Differential Equations and Boundary Problems Credit Risk and Financial Regulations

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References

1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1994Investment Under Uncertainty.1994Investment under Uncertainty 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates 1994Corporate Debt Value, Bond Covenants, and Optimal Capital Structure 1999Modeling Term Structures of Defaultable Bonds 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt

Cited by

2017On a Corporate Bond Pricing Model with Credit Rating Migration Risksand Stochastic Interest Rate 2016Utility indifference valuation of corporate bond with credit rating migration by structure approach 2016Asymptotic traveling wave solution for a credit rating migration problem 2018On a New Corporate Bond Pricing Model with Potential Credit Rating Change and Stochastic Interest Rate

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2016Utility indifference valuation of corporate bond with credit rating migration by structure approacharticle · 14 shared references 2018On a New Corporate Bond Pricing Model with Potential Credit Rating Change and Stochastic Interest Ratearticle · 14 shared references 2017On a Corporate Bond Pricing Model with Credit Rating Migration Risksand Stochastic Interest Ratearticle · 13 shared references 2000Continuous‐Time Methods in Finance: A Review and an Assessmentarticle · 12 shared references 2005Credit risk modeling with affine processesarticle · 12 shared references 2016Asymptotic traveling wave solution for a credit rating migration problemarticle · 12 shared references

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Year2015

Typearticle

Published2015-03-26

VenueJournal of Mathematical Analysis and Applications

ISSN-L0022-247X

Languageen

Citations33

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jmaa.2015.03.040

openalex_workW1994850225

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