The Term Structure of Defaultable Bond Prices
Year of publication: |
1996-08-01
|
---|---|
Authors: | Schönbucher, Philipp J. |
Publisher: |
Sonderforschungsbereich Information und die Koordination Wirtschaftlicher Aktivitäten <Bonn> |
Subject: | Arbitrage | Ausfallrisiko | Zinsstruktur | Term structure model | Preisbündelung |
- 1 Introduction
- 2 Setup und Notation
- 3 Pricing with Zero Recovery
- 4 Modelling the Spread between the Forward Rates
- 5 Positive Recovery and Restructuring
- 6 Pricing with Recovery
- 7 Instantaneous Short Rate Modelling
- 8 Jumps in the Defaultable Rates
- 9 Conclusion
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