In this paper a simulation approach for defaultable yield curves is developed within the Heath et al. (1992) framework. The default event is modelled using the Cox process where the stochastic intensity represents the credit spread. The forward credit spread volatility function is affected by...

In this paper a simulation approach for defaultable yield curves is developed within the Heath et al. (1992) framework. The default event is modelled using the Cox process where the stochastic intensity represents the credit spread. The forward credit spread volatility function is affected by...

In this paper a simulation approach for defaultable yield curves is developed within the Heath et al. (1992) framework. The default event is modelled using the Cox process where the stochastic intensity represents the credit spread. The forward credit spread volatility function is affected by...

In this paper a simulation approach for defaultable yield curves is developed within the Heath et al. (1992) framework. The default event is modelled using the Cox process where the stochastic intensity represents the credit spread. The forward credit spread volatility function is affected by...

Here I consider the dynamics of interest rate processes in the multi-factor model specified in Heath, Jarrow and Morton (1992). Despite its flexibility and theoretical advances, the number of empirical studies using the HJM model remains inadequate, principally because of the difficulty...

This paper examines two numerical methods for pricing of American spread options in the case where both underlying assets follow the jump-diffusion process of Merton (1976). We extend the integral equation representation for the American spread option presented by Broadie and Detemple (1997) to...