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Applied Mathematical Finance Volume 16, 2009 - Issue 1
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PAPERS

A Numerical Method to Price Defaultable Bonds Based on the Madan and Unal Credit Risk Model

Luca Vincenzo Ballestra Dipartimento di Scienze Sociali ‘D. Serrani’, Università Politecnica delle Marche, 60121 Ancona, Italy
&
Graziella Pacelli Dipartimento di Scienze Sociali ‘D. Serrani’, Università Politecnica delle Marche, 60121 Ancona, ItalyCorrespondence[email protected]
Pages 17-36 | Received 28 Jun 2007, Accepted 05 Dec 2007, Published online: 02 Mar 2009

Citations (4)

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Read on this site (1)

Luca Vincenzo Ballestra, Graziella Pacelli & Davide Radi. (2017) Computing the survival probability in the Madan–Unal credit risk model: application to the CDS market. Quantitative Finance 17:2, pages 299-313.
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Articles from other publishers (3)

Luca Vincenzo Ballestra, Serena Brianzoni, Renato Colucci, Luca Guerrini, Graziella Pacelli & Davide Radi. 2019. The First Outstanding 50 Years of “Università Politecnica delle Marche”. The First Outstanding 50 Years of “Università Politecnica delle Marche” 117 131 .
Luca Vincenzo Ballestra & Graziella Pacelli. (2014) Valuing risky debt: A new model combining structural information with the reduced-form approach. Insurance: Mathematics and Economics 55, pages 261-271.
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Luca Vincenzo Ballestra & Graziella Pacelli. (2008) Pricing Defaultable Bonds: A New Model Combining Structural Information with the Reduced-Form Approach. SSRN Electronic Journal.
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