On cox processes and credit risky securities
Tóm tắt
Từ khóa
Tài liệu tham khảo
Artzner, P. and F. Delbaen. (1995). ?Default Risk Insurance and Incomplete Markets,?Mathematical Finance 5, 187?195.
Black, F. and M. Scholes. (1973). ?The Pricing of Options and Corporate Liabilities,?Journal of Political Economy 3, 637?654.
Cooper, I. and M. Martin. (1996). ?Default Risk and Derivative Products,?Applied Mathematical Finance 3, 53?74.
Duffee, G. (1996). ?Treasury Yields and Corporate Bond Yields Spreads: An Empirical Analysis,? Working Paper, Federal Reserve Board, Washington DC.
Duffie, D. (1992).Dynamic Asset Pricing Theory. Princeton: Princeton University Press.
Duffie, D. and K. Singleton. (1996). ?Modeling Term Structures of Defaultable Bonds,? Working Paper, Stanford University.
Duffie, D. and K. Singleton. (1997). ?An Econometric Model of the Term Structure of Interest Rate Swap Yields,?Journal of Finance 52(4), 1287?1321.
Duffie, D., M. Schroder, and C. Skiadas. (1996). ?Recursive Valuation of Defaultable Securities and the Timing of Resolution of Uncertainty,?The Annals of Applied Probability 6(4), 1075?1090.
Fons, J. and A. Kimball. (1991). ?Corporate Bond Defaults and Default Rates 1970?1990,?The Journal of Fixed Income, 36?47.
Gill, R. and S. Johansen. (1990). ?A Survey of Product-Integration with a View Towards Applications in Survival Analysis,?The Annals of Statistics 18(4), 1501?1555.
Grandell, J. (1976). ?Doubly Stochastic Poisson Processes.? Volume 529 ofLecture Notes in Mathematics, New York: Springer.
Jarrow, R., D. Lando, and S. Turnbull. (1997). ?A Markov Model for the Term Structure of Credit Risk Spreads,?Review of Financial Studies 10(2), 481?523.
Jarrow, R. and S. Turnbull. (1995). ?Pricing Options on Financial Securities Subject to Credit Risk,?Journal of Finance 50, 53?85.
Lando, D. (1994). ?Three Essays on Contingent Claims Pricing,? PhD Dissertation, Cornell University.
Lando, D. (1997). ?Modelling Bonds and Derivatives with Credit Risk.? In M. Dempster and S. Pliska (eds.),Mathematics of Financial Derivativcs, 369?393. Cambridge University Press.
Longstaff, F. and E. Schwartz. (1995). ?A Simple Approach to Valuing Risky Fixed and Floating Rate Debt,?Journal of Finance 50, 789?819.
Madan, D. and H. Unal. (1995). ?Pricing the Risks of Default,? Working Paper, University of Maryland.
Merton, R. C. (1974). ?On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,?Journal of Finance 2, 449?470.