Advanced SearchSearch Tips
Estimation for the Time-t Discounted Price of Multiple Defaultable Zero Coupon Bond
facebook(new window)  Pirnt(new window) E-mail(new window) Excel Download
 Title & Authors
Estimation for the Time-t Discounted Price of Multiple Defaultable Zero Coupon Bond
Park, Heung-Sik;
  PDF(new window)
We consider a multiple defaultable zero coupon bond. Assuming defaults occur according to a marked point process, we explain how to estimate the time-t discounted price of zero coupon bond by simulation. For the special case of a given specific random face value, we show that the real probability measure is the risk neutral probability measure. In this case the time-t discounted conditional price can be obtained by observing a single sample path upto the time t in the real world. Furthermore the time-t discounted price can be estimated by observing real situations or by simulation under the real probability measure.
Multiple defaults;zero coupon bond;simulation;marked point process;
 Cited by
Banks, J. and Carson, J. S. (1984). Discrete-Event System Simulation, Prentice Hall, New Jersey

Bremaud, P. (1981). Point Processes and Queues: Martingale Dynamics, Sringer-Verlag, New York

Duffie, D., Pedersen, L. H. and Singleton, K. J. (2003). Modeling Sovereign yield spreads: A case study of Russian debt, The Journal of Finance, 58, 119-159 crossref(new window)

Lando, D. (1998). On Cox processes and credit risky securities, Review of Derivatives Research, 2, 99-120 crossref(new window)

Schonbucher, P. (1998). Term structure modelling of defaultable bonds, Review of Derivatives Research, 2, 161-192 crossref(new window)

Wong, R. (2004). Essays in stochastic modelling with applications to economics, finance, and insurance, Ph.D Thesis, University of Illinois at Chicago