Applying a three-factor defaultable term structure model to the pricing of credit default options

International Review of Financial Analysis

Volumn 11, Issue 2, 2002, Pages 139-158

  Schmid, Bernd ^a   Kalemanova, Anna ^a  

^a RiskLab GmbH   (Germany)

Author keywords

Credit derivatives; Defaultable term structure model; Parameter estimation

Indexed keywords

EID: 0036309113     PISSN: 10575219     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1057-5219(02)00072-8     Document Type: Article

References (15)

1. Valuation of defaultable bonds
2. An analysis of variable rate loan contracts
3. Dynamic asset pricing theory
4. Term structures of credit spreads with incomplete accounting information
5. Recursive valuation of defaultable securities and the timing of resolution of uncertainty
6. Modeling term structures of defaultable bonds
7. Forecasting, structural time series models and the Kalman filter
8. Pricing interest-rate-derivative securities
9. Parsimonious modeling of yield curves
10. Stochastic differential equations-an introduction with applications
11. A note on the stability of lognormal interest rate models and pricing of eurodollars futures
12. Pricing credit linked financial instruments
13. A three-factor defaultable term structure model
14. Credit risk modeling and credit derivatives
15. An equilibrium characterization of the term structures