This article provides a new methodology for pricing and hedging derivative securities involving
credit risk. Two types of credit risks are considered. The first is where the asset underlying …

This article provides a Markov model for the term structure of credit risk spreads. The model
is based on Jarrow and Turnbull (1995) , with the bankruptcy process following a discrete …

This paper presents a unifying theory for valuing contingent claims under a stochastic term
structure of interest rates. The methodology, based on the equivalent martingale measure …

This paper investigates the forecasting accuracy of bankruptcy hazard rate models for US
companies over the time period 1962–1999 using both yearly and monthly observation …

Motivated by recent financial crises in East Asia and the United States where the downfall of
a small number of firms had an economy‐wide impact, this paper generalizes existing …

We show how a given probability distribution can be approximated by an arbitrary distribution
in terms of a series expansion involving second and higher moments. This theoretical …

This paper investigates market manipulation trading strategies by large traders in a securities
market. A large trader is defined as any investor whose trades change prices. A market …

We derive alternative representations of the McKean equation for the value of the American
put option. Our main result decomposes the value of an American put option into the …

… , Jarrow, and Morton is very abstract and difficult to read. This paper illustrates how to obtain
the continuous time Heath, Jarrow, … continuous time models in Heath, Jarrow, and Morton, it …

Economic theory tells us that market and credit risks are intrinsically related to each other
and not separable. We describe the two main approaches to pricing credit risky instruments: …