Journal of the Korean Statistical Society

  • 제35권2호
  • /
  • Pages.193-199
  • /
  • 2006
  • /
  • 1226-3192(pISSN)
  • /
  • 2005-2863(eISSN)
한국통계학회 (The Korean Statistical Society)
권호 표지

DERIVATION OF A PRICE PROCESS FOR MULTITYPE MULTIPLE DEFAULTABLE BONDS

  • Park Heung-Sik (Department of Applied Mathematics, Sejong University)
  • 발행 : 2006.06.01
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초록

We consider a zero coupon bond that is at the risk of multitype multiple defaults. Assuming defaults occur according to k Cox processes, we find a price process for zero coupon bonds. To derive this process we follow the Lando (1998)'s method which uses conditional expectations instead of the traditional methods.

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참고문헌

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  3. GRANDELL, J. (1976). Doubly Stochastic Poisson Processes, Springer-Verlag, Berlin-New York
  4. LANDO, D. (1998). 'On Cox processes and credit risky securities', Review of Derivatives Research, 2, 99-120
  5. PLISKA, S. R. (1997). Introduction to Mathematical Finance: Discrete Time Models, Blackwell Publishers, Oxford
  6. SCHONBUCHER, P. (1998). 'Term Structure Modeling of Defaultable Bonds,' Review of Derivatives Research, 2, 161-192
  7. WONG, R. (2004). Essays in stochastic modeling with applications to economics, finance, and insurance, Ph.D Dissertation, University of Illinois, Chicago