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A free boundary problem for corporate bond with credit rating migration

  • Published:2015-08 Issue:2 Volume:428 Page:896-909
  • ISSN:0022-247X
  • Container-title:Journal of Mathematical Analysis and Applications
  • language:en
  • Short-container-title:Journal of Mathematical Analysis and Applications

Author:

Hu Bei,Liang Jin,Wu Yuan

Funder

Tongji University

National Natural Science Foundation of China

Publisher

Elsevier BV

Subject

Applied Mathematics,Analysis

Reference20 articles.

1. Some effects of bond indenture provisions;Black;J. Finance,1976

2. Valuing risky fixed rate debt: an extension;Briys;J. Financ. Quant. Anal.,1997

3. Pricing credit-sensitive debt when interest rates, credit ratings, and credit spreads are stochastic;Das;J. Financ. Eng.,1996

4. Investment Under Uncertainty;Dixit,1994

5. Modeling term structures of defaultable bonds;Duffe;Rev. Financ. Stud.,1999

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1. A Multi-Credit-Rating Migration Model with Asymmetric Migration Boundaries;Mathematical and Computational Applications;2024-01-17

2. The relationship between two kinds of structural credit migration models;AIMS Mathematics;2024

3. Theoretical Results in the Structural Credit Rating Migration Models;Credit Rating Migration Risks in Structure Models;2024

4. Structure Models for Measuring Credit Rating Migration Risks;Credit Rating Migration Risks in Structure Models;2024

5. Variational inequalities arising from credit rating migration with buffer zone;European Journal of Applied Mathematics;2023-12-14
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