The aim of this thesis is to thoroughly study structural default models based on jump-diffusion processes. Jump-diffusion models were first proposed by Zhou (2001), who also showed that these models have several desirable properties, most important, positive short-term spreads. On the other...

The issue of over-utilization of medical procedures has generated strong debate in the United States. It is well acknowledged that, in the agency relationship between physicians and patients, the informational advantage gives doctors an incentive to deviate from the appropriate treatment as...

This paper presents three factor "Extended Gaussian" term struc- ture models (EGM) to price default-free and defaultable bonds. To price default-free bonds EGM assume that the instantaneous interest rate is a possibly non-linear but monotonic function of three latent factors that follow...