Arbeitspapier
On the pricing of defaultable bonds and hitting times of Ito processes
The main aim of this work is to price defaultable bonds. In order to achieve this goal we link first hitting densities of Brownian motion with functionals of controlled diffusions. From a practical point of view examples of diffusions with this property are: Brownian motion with linear drift, the 3D Bessel process, the 3D Bessel bridge, and the Brownian bridge, just to mention a few. In turn, these processes are used in finance and economics since they may fall within the category of controlled processes, and/or mean reverting processes.
- Language
-
Englisch
- Bibliographic citation
-
Series: Working Papers ; No. 2015-21
- Classification
-
Wirtschaft
Mathematical Methods; Programming Models; Mathematical and Simulation Modeling: General
- Subject
-
bond valuation
Ito processes
hitting times
- Event
-
Geistige Schöpfung
- (who)
-
Hernández del Valle, Gerardo
- Event
-
Veröffentlichung
- (who)
-
Banco de México
- (where)
-
Ciudad de México
- (when)
-
2015
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Hernández del Valle, Gerardo
- Banco de México
Time of origin
- 2015
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