Pricing the risks of default: A note on Madan and Unal

Review of Derivatives Research

Volumn 7, Issue 2, 2004, Pages 169-173

  Grundke, Peter ^a   Riedel, Karl O ^a  

^a UNIVERSITY OF COLOGNE   (Germany)

Author keywords

Credit risk; Default intensity; Partial differential equation

Indexed keywords

EID: 3042747502     PISSN: 13806645     EISSN: None     Source Type: Journal    
DOI: 10.1023/B:REDR.0000031177.45539.1d     Document Type: Article

References (1)

1. Madan, D.B. and H. Unal. (1998). "Pricing the Risks of Default," Review of Derivatives Research 2, 121-160.