• Communications for Statistical Applications and Methods
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• v.16 no.3
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• pp.487-493
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• 2009

We consider a multiple defaultable zero coupon bond. Assuming defaults occur according to a marked point process, we explain how to estimate the time-t discounted price of zero coupon bond by simulation. For the special case of a given specific random face value, we show that the real probability measure is the risk neutral probability measure. In this case the time-t discounted conditional price can be obtained by observing a single sample path upto the time t in the real world. Furthermore the time-t discounted price can be estimated by observing real situations or by simulation under the real probability measure.

• Journal of the Korean Statistical Society
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• v.35 no.2
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• pp.193-199
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• 2006

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.

• The Korean Journal of Financial Management
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• v.25 no.1
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• pp.85-108
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• 2008

In this paper, the fBm interest rate theory is investigated by using Wick integral. The well-known Affine, Quadratic and HJM are derived from fBm framework, respectively. We obtain new theoretical results, and zero coupon bond pricing formula from newly obtained probability measure.