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The pricing of credit derivatives and estimation of default probability

Zhou, Hanghang; Zhao, Dianli - In: Journal of mathematical finance 5 (2015) 3, pp. 243-248

Persistent link: https://www.econbiz.de/10011438503

Evaluating callable and putable bonds : an eigenfunction expansion approach

Lim, Dongjae; Li, Lingfei; Linetsky, Vadim - In: Journal of economic dynamics & control 36 (2012) 12, pp. 1888-1908

Persistent link: https://www.econbiz.de/10009701917

Chapter 11 Intertemporal asset pricing theory

Duffie, Darrell - 2003

This is a survey of the basic theoretical foundations of intertemporal asset pricing theory. The broader theory is first reviewed in a simple discrete-time setting, emphasizing the key role of state prices. The existence of state prices is equivalent to the absence of arbitrage. State prices,...

Persistent link: https://www.econbiz.de/10014023860

Approximate series solutions of a one-factor term structure model for bond pricing

Edeki, Sunday Onos; Okoli, Deborah Chikwado; Ahmad, Hijaz; … - In: Annals of financial economics 16 (2021) 4, pp. 1-22

Persistent link: https://www.econbiz.de/10013185499

Essays on empirical term structure modeling

Zhao, Feng - 2004

Persistent link: https://www.econbiz.de/10003387673

Pseudodiffusions and quadratic term structure models

Levendorskij, Sergej Z. - In: Mathematical finance : an international journal of … 15 (2005) 3, pp. 393-424

Persistent link: https://www.econbiz.de/10002983089

XVA of a Derivative on an Underlying Modelled by a Default Jump Process with an Analysis of CVA Wrong Way Risk for Bond Forwards

Lichtner, Mark - 2015

. The results are applied to bond forward contracts and total return swaps with early termination at underlying default …

Persistent link: https://www.econbiz.de/10013024060

Pricing defaultable bonds under Hawkes jump-diffusion processes

Chen, Li; Ma, Yong; Xiao, Weilin - In: Finance research letters 47 (2022) 2, pp. 1-8

Persistent link: https://www.econbiz.de/10013553778

Pricing and hedging bond power exchange options in a stochastic string term-structure model

Blenman, Lloyd P.; Bueno-Guerrero, Alberto; Clark, Steven P. - In: Risks : open access journal 10 (2022) 10, pp. 1-17

-form expressions for pricing and hedging bond power exchange options are obtained and, as particular cases, the corresponding … equivalence of the European and the American versions of bond power exchange options are provided and the put-call parity relation … for European bond power exchange options is established. Finally, we consider several applications of our results …

Persistent link: https://www.econbiz.de/10013555525

Numerical Solutions of PIDEs for the Prices of Bond Options, Swaps, Caps and Floors for Levy-Based Stochastic Interest Rate Models

Malyarenko, Anatoliy - 2010

In this paper, we show numerically how to calculate the price of bond options, swaps, caps and floors for Levy one …

Persistent link: https://www.econbiz.de/10013144189