A General Formula for Valuing Defaultable Securities
- 19 July 2004
- journal article
- Published by The Econometric Society in Econometrica
- Vol. 72 (5) , 1377-1407
- https://doi.org/10.1111/j.1468-0262.2004.00538.x
Abstract
No abstract availableKeywords
This publication has 23 references indexed in Scilit:
- Affine processes and applications in financeThe Annals of Applied Probability, 2003
- Is Default Event Risk Priced in Corporate Bonds?SSRN Electronic Journal, 2002
- Counterparty Risk and the Pricing of Defaultable SecuritiesThe Journal of Finance, 2001
- Default Risk and Diversification: Theory and Empirical ImplicationsSSRN Electronic Journal, 2001
- Asset Prices and Default-free Term Structure in an Equilibrium Model of DefaultSSRN Electronic Journal, 1999
- ‘FLIPPING THE COIN’: MODELS FOR SOCIAL JUSTICE AND THE MATHEMATICS CLASSROOMResearch in Mathematics Education, 1999
- Recursive valuation of defaultable securities and the timing of resolution of uncertaintyThe Annals of Applied Probability, 1996
- Pricing Derivatives on Financial Securities Subject to Credit RiskThe Journal of Finance, 1995
- Backward-Forward Stochastic Differential EquationsThe Annals of Applied Probability, 1993
- A Theory of the Nominal Term Structure of Interest RatesThe Review of Financial Studies, 1992