We value rating-triggered step-up bonds with three methods: (i) the Jarrow, Lando andTurnbull (1997, JLT) framework, (ii) a similar framework using historical probabilities and(iii) as plain vanilla bonds. We find that the market seems to value single step-up bondsaccording to the JLT model,...

This paper studies empirical issues of one-factor yield curve models. We focus on the models by Hoand Lee (1986), Hull and White (1990) and Moraleda and Vorst (1996). To be consistent in thecomparison of the models, we derive them all within the Ritkchen and Sankarasubramanian (1995)framework,...

In this paper we compare market prices of credit default swaps with model prices. We showthat a simple reduced form model with a constant recovery rate outperforms the market practice ofdirectly comparing bonds' credit spreads to default swap premiums. We find that the model workswell for...

We value rating-triggered step-up bonds with three methods: (i) the Jarrow, Lando and

In this paper we introduce a new methodology to price American put options under stochastic interest

In this paper we compare market prices of credit default swaps with model prices. We show

We consider eight different measures (issued amount, coupon, listed, age, missing

This paper studies empirical issues of one-factor yield curve models. We focus on the models by Ho