Chiarella, Carl; Fanelli, Viviana; Musti, Silvana - Finance Discipline Group, Business School - 2008
estimations.
Keywords: HJM model, Cox process, Monte Carlo method, bond price, CDS option
JEL Classification: C63, G13, G33 … defaultable bond price is equal to the expected value of future
payoffs discounted by a defaultable interest rate. The term … defaultable bond price is obtained under the following
assumptions: i) positive recovery rates, ii) reorganization of the …