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  1. Applied Mathematics-A Journal of Chinese Universities
  2. Applied Mathematics-A Journal of Chinese Universities : Volume 17
  3. Applied Mathematics-A Journal of Chinese Universities : Volume 17, Issue 3, September 2002
  4. Pricing of multiple defaultable bond
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Applied Mathematics-A Journal of Chinese Universities : Volume 32
Applied Mathematics-A Journal of Chinese Universities : Volume 31
Applied Mathematics-A Journal of Chinese Universities : Volume 30
Applied Mathematics-A Journal of Chinese Universities : Volume 29
Applied Mathematics-A Journal of Chinese Universities : Volume 28
Applied Mathematics-A Journal of Chinese Universities : Volume 27
Applied Mathematics-A Journal of Chinese Universities : Volume 26
Applied Mathematics-A Journal of Chinese Universities : Volume 25
Applied Mathematics-A Journal of Chinese Universities : Volume 24
Applied Mathematics-A Journal of Chinese Universities : Volume 23
Applied Mathematics-A Journal of Chinese Universities : Volume 22
Applied Mathematics-A Journal of Chinese Universities : Volume 21
Applied Mathematics-A Journal of Chinese Universities : Volume 20
Applied Mathematics-A Journal of Chinese Universities : Volume 19
Applied Mathematics-A Journal of Chinese Universities : Volume 18
Applied Mathematics-A Journal of Chinese Universities : Volume 17
Applied Mathematics-A Journal of Chinese Universities : Volume 17, Issue 4, December 2002
Applied Mathematics-A Journal of Chinese Universities : Volume 17, Issue 3, September 2002
Existence of positive solutions for neutral difference equations with positive and negative coefficients
Global attractivity of neutral difference equations with positive and negative coefficients
Stability of perturbed neutral differential equations with positive and negative coefficients
The existence of a liapunov functional for linear delay system
Extension to the direct methods and applications to the generalized burgers equation
Local 2-cocycles
Characterizations of principal shift-invariant spaces
On finite rank operators in CSL algebras III
Trisecting a parallelogram
Chain recurrent points and topological entropy of a tree map
Dual random model of increasing life insurance for multiple-life status
Self-normalized central limit theorem and estimation of variance of partial sums for negative dependent random variables
Pricing of multiple defaultable bond
Necessary and sufficient condition for the existence of a nonnegative equilibrium price vector in the capital market with short-selling
W-Density and w-balanced property of weighted graphs
Singular maps on the Klein bottle
Properties of spectra of graphs and line graphs
Applied Mathematics-A Journal of Chinese Universities : Volume 17, Issue 2, June 2002
Applied Mathematics-A Journal of Chinese Universities : Volume 17, Issue 1, March 2002
Applied Mathematics-A Journal of Chinese Universities : Volume 16
Applied Mathematics-A Journal of Chinese Universities : Volume 15
Applied Mathematics-A Journal of Chinese Universities : Volume 14
Applied Mathematics-A Journal of Chinese Universities : Volume 13
Applied Mathematics-A Journal of Chinese Universities : Volume 12

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Pricing of multiple defaultable bond

Content Provider Springer Nature Link
Author Zhihong, Jian Chulin, Li
Copyright Year 2002
Abstract In this paper a generalized defaultable bond pricing formula is derived by assuming that there exists a defaultable forward rate term structure and that firms in the economy interact when default occurs. Generally, The risk-neutral default intensity λ$^{ Q }$ is not equal to the empirical or actual default intensity λ. This paper proves that multiple default intensities are invariant under equivalent martingale transformation, given a well-diversified portfolio corresponding to the defaultable bond. Thus one can directly apply default intensities and fractional losses empirically estimated to the evaluation of defaultable bonds or contingent claims.
Starting Page 335
Ending Page 343
Page Count 9
File Format PDF
ISSN 10051031
Journal Applied Mathematics-A Journal of Chinese Universities
Volume Number 17
Issue Number 3
e-ISSN 19930445
Language English
Publisher Editorial Committee of Applied Mathematics
Publisher Date 2002-01-01
Publisher Place Hangzhou
Access Restriction One Nation One Subscription (ONOS)
Subject Keyword multiple defaultable bond term structure diversification Mathematics Applications of Mathematics
Content Type Text
Resource Type Article
Subject Applied Mathematics
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