Recent papers consider the relationship between population growth and capital accumulation. In general the relationship is not monotonic; there is a tension between two opposing effects - a higher growth rate diluting capital that has already been accumulated, and the ability of a growing...

This paper develops a model and estimate simultaneously the joint dynamics of default-free and defaultable bond term structures.

In this paper we present a new methodology for modelling the development of the prices of defaultable zero coupon bonds that is inspired by the Heath-Jarrow-Morton (HJM) approach to risk-free interest rate modelling. Instead of precisely specifying the mechanism that triggers the default we...

We develop intuitive expressions for the spread between a forwardcontract and a similar futures contract taking into account the pos-sibility of counterparty default. We evaluate these expressions nu-merically and show that the forward-futures spread is significant forrealistic parameter...