Floating-Fixed Credit Spreads

Financial Analysts Journal

Volumn 57, Issue 3, 2001, Pages 76-87

  Duffie, Darrell ^b   Liu, Jun ^a  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0344108027     PISSN: 0015198X     EISSN: None     Source Type: Journal    
DOI: 10.2469/faj.v57.n3.2452     Document Type: Article

References (12)

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3. Duffie, Darrell, and Rui Kan. 1996. "A Yield-Factor Model of Interest Rates." Mathematical Finance, vol. 6, no. 4 (October):379-406.
4. Duffie, Darrell, and Kenneth J. Singleton. 1997. "An Econometric Model of the Term Structure of Interest Rate Swap Yields." Journal of Finance, vol. 52, no. 4 (September):1287-1321.
5. _. 1999. "Modeling Term Structure of Defaultable Bonds." Review of Financial Studies, vol. 12, no. 4 (Special):687-720.
6. Duffie, Darrell, Jun Pan, and Kenneth Singleton. 2000. "Transform Analysis and Asset Pricing for Affine Jump-Diffusions." Econometrica, vol. 68, no. 6 (November):1343-76.
7. El Karoui, Nicole, Ravi Myneni, and Ravi Viswanathan. 1992. "Arbitrage Pricing and Hedging of Interest Rate Claims with State Variables I: Theory." Working paper, Laboratoire de Probabilités, Université de Paris.
8. Jarrow, Robert A., and Stuart M. Turnbull. 1995. "Pricing Derivatives on Financial Securities Subject to Credit Risk." Journal of Finance, vol. 50, no. 1 (February):53-85.
9. Longstaff, Francis A., and Eduardo S. Schwartz. 1995. "A Simple Approach to Valuing Risky Fixed and Floating Rate Debt." Journal of Finance, vol. 50, no. 3 (June):789-819.
10. Press, William H., Saul A. Teukolsky, William T. Veterling, and Brian P. Flannery. 1992. Numerical Recipes in FORTRAN. Cambridge, UK: Cambridge University Press.
11. Protter, P. 1990. Stochastic Integration and Differential Equations. New York: Springer-Verlag.
12. Pye, Gordon. 1974. "Gauging the Default Premium." Financial Analysts Journal, vol. 30, no. 1 (January/February):49-50.