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Quantitative Finance Volume 6, 2006 - Issue 3
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Original Articles

Pricing defaultable bonds: a middle-way approach between structural and reduced-form models

Lara Cathcart Tanaka Business School, Imperial College London, South Kensington Campus, London SW7 2AZ, UKCorrespondence[email protected]
&
Lina El-Jahel Tanaka Business School, Imperial College London, South Kensington Campus, London SW7 2AZ, UK
Pages 243-253 | Received 05 Nov 2004, Accepted 06 Mar 2006, Published online: 18 Feb 2007

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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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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 (16)

Li Chen, Yong Ma & Weilin Xiao. (2022) Pricing defaultable bonds under Hawkes jump-diffusion processes. Finance Research Letters 47, pages 102738.
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Fabio Antonelli, Alessandro Ramponi & Sergio Scarlatti. (2022) On a convergent power series method to price defaultable bonds in a Vasicek-CIR model. Electronic Communications in Probability 27:none.
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Davide Radi, Vu Phuong Hoang, Gabriele Torri & Hana Dvořáčková. (2021) A revised version of the Cathcart & El-Jahel model and its application to CDS market. Decisions in Economics and Finance 44:2, pages 669-705.
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M. Carmen Calvo-Garrido, Sidi Diop, Andrea Pascucci & Carlos Vázquez. (2021) PDE models for the pricing of a defaultable coupon-bearing bond under an extended JDCEV model. Communications in Nonlinear Science and Numerical Simulation 102, pages 105914.
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Luca Vincenzo Ballestra, Graziella Pacelli & Davide Radi. (2020) Modeling CDS spreads: A comparison of some hybrid approaches. Journal of Empirical Finance 57, pages 107-124.
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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 .
Yanmin Ouyang, Jingyuan Yang & Shengwu Zhou. (2018) Valuation of the Vulnerable Option Price Based on Mixed Fractional Brownian Motion. Discrete Dynamics in Nature and Society 2018, pages 1-16.
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Hyong-Chol O, Dong-Hyok Kim & Chol-Hyok Pak. (2014) Analytical pricing of defaultable discrete coupon bonds in unified two-factor model of structural and reduced form models. Journal of Mathematical Analysis and Applications 416:1, pages 314-334.
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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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James J. Cochran, Louis A. CoxJr.Jr., Pinar Keskinocak, Jeffrey P. Kharoufeh & J. Cole SmithSüleyman Özekici. 2011. Wiley Encyclopedia of Operations Research and Management Science. Wiley Encyclopedia of Operations Research and Management Science.
L. C. G. Rogers. 2008. Frontiers in Quantitative Finance. Frontiers in Quantitative Finance 161 184 .
Hyong-Chol O.Dong-Hyok Kim, Jong-Jun Jo & Song-Hun Ri. (2013) Integrals of Higher Binary Options and Defaultable Bonds with Discrete Default Information. SSRN Electronic Journal.
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Hyong-Chol O.Yong-Gon Kim & Dong-Hyok Kim. (2013) Higher Order Binaries with Time Dependent Coefficients and Two Factors - Model for Defaultable Bond with Discrete Default Information. SSRN Electronic Journal.
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Hyong-Chol O.Dong-Hyok Kim & Chol-Hyok Pak. (2013) Analytical Pricing of Defaultable Discrete Coupon Bonds in Unified Model of Structural and Reduced Form Models (Two-Factor Model). SSRN Electronic Journal.
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Hyong-Chol O.Song-Yon Kim. (2013) A Comprehensive Unified Model of Structural and Reduced Form Models for Defaultable Fixed Income Bonds. SSRN Electronic Journal.
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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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