Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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DERIVATION OF A PRICE PROCESS FOR MULTITYPE MULTIPLE DEFAULTABLE BONDS

  • Park Heung-Sik (Department of Applied Mathematics, Sejong University)
  • Published : 2006.06.01
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Abstract

We consider a zero coupon bond that is at the risk of multitype multiple defaults. Assuming defaults occur according to k Cox processes, we find a price process for zero coupon bonds. To derive this process we follow the Lando (1998)'s method which uses conditional expectations instead of the traditional methods.

Keywords

References

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