Displaying similar documents to “A Green's function for a convertible bond using the Vasicek model.”

The pricing of credit risky securities under stochastic interest rate model with default correlation

Anjiao Wang, Zhong Xing Ye (2013)

Applications of Mathematics

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In this paper, we study the pricing of credit risky securities under a three-firms contagion model. The interacting default intensities not only depend on the defaults of other firms in the system, but also depend on the default-free interest rate which follows jump diffusion stochastic differential equation, which extends the previous three-firms models (see R. A. Jarrow and F. Yu (2001), S. Y. Leung and Y. K. Kwok (2005), A. Wang and Z. Ye (2011)). By using the method of change of...

Pricing Polish three-year bonds in the HJM framework

Piotr Sztuba (2000)

Applicationes Mathematicae

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We show how to use the Gaussian HJM model to price Polish three-year bonds. %A bond issued by A Polish Treasury bond is treated as a risk-free security.