References
- Abramowitz , M. and Stegun , A. 1972 . Handbook of Mathematical Functions , New York : Dover .
- Amos , D. E. 1980 . Computation of exponential integrals . ACM Transactions on Mathematical Software , 6 (3) : 365 – 377 .
- Andersen , R. W. and Sundaresan , S. 1996 . Design and valuation of debt contracts . Review of Financial Studies , 9 (1) : 37 – 68 .
- Artzner , P. and Delbaen , F. 1995 . Default risk insurance and incomplete markets . Mathematical Finance , 5 (3) : 187 – 195 .
- Black , F. and Cox , J. C. 1976 . Valuing corporate securities: some effects of bond indenture provisions . Journal of Finance , 31 (2) : 351 – 367 .
- Briys , E. and de Varenne , F. 1997 . Valuing risky fixed rate debt: an extension . Journal of Financial and Quantitative Analysis , 32 (2) : 230 – 248 .
- Byström , H. and Kwon Oh , K. 2005 . Default probabilities according to the bond market . Corporate Finance Review , 9 (5) : 15 – 26 .
- Chan‐Lau, J. A. (2006) Market‐based estimation of default probabilities and its application to financial market surveillance, Working Paper, International Monetary Fund (IFM), available at http://www.imf.org/external/pubs/ft/wp/2006/wp06104.pdf (accessed May 2007).
- Duffee , G. R. 1999 . Estimating the price of default risk . Review of Financial Studies , 12 (1) : 1997 – 2026 .
- Duffie , D. and Singleton , K. 1999 . Modeling term structures of defaultable bonds . Review of Financial Studies , 12 (4) : 687 – 720 .
- Duffie , D. and Singleton , K. 2003 . Credit Risk: Pricing, Measurement, and Management , Princeton, NJ : Princeton University Press .
- Elliott , R. J. , Jeanblanc , M. and Yor , M. 2000 . On models of default risk . Mathematical Finance , 10 (2) : 179 – 196 .
- Evans , G. 1993 . Practical Numerical Integration , Chichester : Wiley .
- Fouque , J‐P. , Sircar , R. and Sølna , K. 2006 . Stochastic volatility effects on defaultable bonds . Applied Mathematical Finance , 13 (3) : 215 – 244 .
- Grundke , P. and Riedel , K. O. 2004 . Pricing the risks of default: a note on Madan and Unal . Review of Derivatives Research , 7 (2) : 169 – 173 .
- Hull , J. C. 2003 . Options, Futures & Other Derivatives , Upper Saddle River, NJ : Prentice Hall .
- Hsu, J. C., Saa‐Requejo, J. and Santa‐Clara, P. (2004) Bond pricing with default risk, Working Paper, UCLA Anderson School of Management, available at http://papers.ssrn.com/sol3/papers.cfm?abstract_id = 611401 (http://papers.ssrn.com/sol3/papers.cfm?abstract_id=611401) (accessed May 2007).
- Jarrow , R. A. and Stuart , M. T. 1995 . Pricing derivatives on financial securities subject to credit risk . Journal of Finance , 50 (1) : 53 – 85 .
- Lando , D. 1999 . On Cox processes and credit risky securities . Review of Derivatives Research , 2 (2) : 99 – 120 .
- Leland, H. E. (2004) Predictions of default probabilities in structural models of debt. Journal of Investment Management , 2, available at www.haas.berkeley.edu/faculty/pdf/LelandPaperJOIM‐4.pdf (www.haas.berkeley.edu/faculty/pdf/LelandPaperJOIM-4.pdf) (accessed May 2007).
- Leland , H. E. and Toft , K. B. 1996 . Optimal capital structure, endogenous bankruptcy, and the term structure of credit spreads . Journal of Finance , 51 (3) : 987 – 1019 .
- Longstaff , F. A. and Schwartz , E. S. 1995 . A simple approach to valuing risky fixed and floating rate debt . Journal of Finance , 50 (3) : 789 – 819 .
- Madan , D. and Unal , H. 1998 . Pricing the risk of default . Review of Derivatives Research , 2 (2) : 121 – 160 .
- Merton , R. C. 1974 . On the pricing of corporate debt: the risk structure of interest rates . Journal of Finance , 29 (2) : 449 – 470 .
- Prudnikov , A. P. , Brychkov , Yu. A. and Marichev , O. I. 1986 . Integrals and Series, , Vol. 1 , New York : Gordon and Breach .
- Rich , D. R. 1994 . The mathematical foundations of barrier option pricing theory . Advances in Futures and Options Research , 7 : 267 – 311 .
- Talbot , A. 1979 . The accurate numerical inversion of Laplace transforms . Journal of the Institute of Mathematics and its Applications , 23 (1) : 97 – 120 .
- Zhou , C. S. 2001 . The term structure of credit spreads with jump risk . Journal of Banking and Finance , 25 (11) : 2015 – 2040 .