AN EXTENSION OF THE BRODY-HUGHSTON-MACRINA APPROACH TO MODELING OF DEFAULTABLE BONDS

被引：16

作者：

Rutkowski, Marek ^{[1
]}

Yu, Nannan ^{[1
]}

机构：

[1] Univ New South Wales, Sch Math, Sydney, NSW 2052, Australia

来源：

INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE | 2007年 / 10卷 / 03期

关键词：

Credit risk; term structure; defaultable bond;

D O I：

10.1142/S0219024907004263

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The innovative information-based framework for credit risk modeling, proposed recently by Brody, Hughston, and Macrina, is extended to a more general and practically important setup of random interest rates. We first introduce the market model, and we derive an explicit expression for defaultable bond price. Next, the dynamics of the information process and dynamics of defaultable bond are found for both deterministic and random interest rates. Finally, the valuation and hedging of derivative securities are briefly examined. In particular, the valuation formula for a European option on a defaultable bond is established.

引用

页码：557 / 589

页数：33