Corporate debt pricing I
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References listed on IDEAS
- Robert A. Jarrow & Stuart M. Turnbull, 2008.
"Pricing Derivatives on Financial Securities Subject to Credit Risk,"
World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 17, pages 377-409,
World Scientific Publishing Co. Pte. Ltd..
- Jarrow, Robert A & Turnbull, Stuart M, 1995. "Pricing Derivatives on Financial Securities Subject to Credit Risk," Journal of Finance, American Finance Association, vol. 50(1), pages 53-85, March.
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Cited by:
- Gikhman, Ilya, 2008.
"Risky Swaps,"
MPRA Paper
6933, University Library of Munich, Germany.
- Gikhman, Ilya, 2008. "Risky Swaps," MPRA Paper 7079, University Library of Munich, Germany.
- Gikhman, Ilya, 2008. "Risky Swaps," MPRA Paper 7078, University Library of Munich, Germany, revised 31 Mar 2008.
- Ilya, Gikhman, 2008. "Multiple risky securities valuation I," MPRA Paper 34511, University Library of Munich, Germany, revised 2011.
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More about this item
Keywords
default; risky bond; reduced form model; credit risk;All these keywords.
JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CFN-2007-10-06 (Corporate Finance)
- NEP-RMG-2007-10-06 (Risk Management)
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