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Applied Mathematical Finance Volume 15, 2008 - Issue 3
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PAPERS

Empirical Evaluation of Hybrid Defaultable Bond Pricing Models

S. Antes Technische Universität München, Munich, Germany
,
M. Ilg Technische Universität München, Munich, Germany
,
B. Schmid UBS Investment Bank, London, UK; The views and opinions expressed in this article are those of the authors and are not necessarily those of UBS. UBS accepts no liability over the content of the article. It is published solely for informational purposes and is not to be construed as a solicitation or an offer to buy or sell any securities or related financial instrumentsCorrespondence[email protected]
&
R. Zagst Technische Universität München, Munich, Germany
Pages 219-249 | Received 24 Oct 2006, Published online: 23 May 2008

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Tobias Bienek, Griselda Deelstra, Andreas Lichtenstern & Rudi Zagst. (2023) A multi-curve HJM factor model for pricing and risk management. Quantitative Finance 23:11, pages 1659-1675.
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Son-Nan Chen, Pao-Peng Hsu & Kuo-Yuan Liang. (2023) Pricing credit-risky bonds using recovery rate uncertainty and macro-regime switching. The European Journal of Finance 0:0, pages 1-17.
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Articles from other publishers (2)

Stephan Höcht & Rudi Zagst. (2009) Pricing credit derivatives under stochastic recovery in a hybrid model. Applied Stochastic Models in Business and Industry 26:3, pages 254-276.
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Stephan HHcht, Ada Kroneberg & Rudi Zagst. (2011) Explaining Aggregated Recovery Rates. SSRN Electronic Journal.
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