On a Corporate Bond Pricing Model with Credit Rating Migration Risksand Stochastic Interest Rate

Author:

Liang Jin, ,Chen Xinfu,Wu Yuan,Yin Hong-Ming, , ,

Publisher

American Institute of Mathematical Sciences (AIMS)

Subject

Development,Geography, Planning and Development

Reference26 articles.

1. Some Effects of Bond Indenture Provisions;Black F, Cox JC;J Financ

2. Valuing Risky Fixed Rate Debt: An Extension;Briys E, Varenne DF;J Financ Quantit Anal

3. Modeling Term Structures of Defaultable Bonds;Duffe D, Singleton KJ;Rev Financ Stud

4. Pricing credit-sensitive debt when interest rates, credit ratings, and credit spreads are stochastic

5. Investment under Uncertainty, Princeton Univ Press

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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. Extensions for 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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