The Analysis of Corporate Bond Valuation under an Infinite Dimensional Compound Poisson Framework
This paper analyzes the firm bond valuation and credit spread with an endogenous model for the pure default and callable default corporate bond. Regarding the stochastic instantaneous forward rates and the firm value as an infinite dimensional Poisson process, we provide some analytical results for...
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| Format: | Article |
| Language: | English |
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Wiley
2014-01-01
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| Series: | Abstract and Applied Analysis |
| Online Access: | http://dx.doi.org/10.1155/2014/282185 |
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| _version_ | 1850106543197913088 |
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| author | Sheng Fan |
| author_facet | Sheng Fan |
| author_sort | Sheng Fan |
| collection | DOAJ |
| description | This paper analyzes the firm bond valuation and credit spread with an endogenous model for the pure default and callable default corporate bond. Regarding the stochastic instantaneous forward rates and the firm value as an infinite dimensional Poisson process, we provide some analytical results for the embedded American options and firm bond valuations. |
| format | Article |
| id | doaj-art-2d34db96e25e443aacf8e02c20e1ffce |
| institution | OA Journals |
| issn | 1085-3375 1687-0409 |
| language | English |
| publishDate | 2014-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Abstract and Applied Analysis |
| spelling | doaj-art-2d34db96e25e443aacf8e02c20e1ffce2025-08-20T02:38:48ZengWileyAbstract and Applied Analysis1085-33751687-04092014-01-01201410.1155/2014/282185282185The Analysis of Corporate Bond Valuation under an Infinite Dimensional Compound Poisson FrameworkSheng Fan0School of Economic Mathematics, Southwestern University of Finance and Economics, Chengdu 611130, ChinaThis paper analyzes the firm bond valuation and credit spread with an endogenous model for the pure default and callable default corporate bond. Regarding the stochastic instantaneous forward rates and the firm value as an infinite dimensional Poisson process, we provide some analytical results for the embedded American options and firm bond valuations.http://dx.doi.org/10.1155/2014/282185 |
| spellingShingle | Sheng Fan The Analysis of Corporate Bond Valuation under an Infinite Dimensional Compound Poisson Framework Abstract and Applied Analysis |
| title | The Analysis of Corporate Bond Valuation under an Infinite Dimensional Compound Poisson Framework |
| title_full | The Analysis of Corporate Bond Valuation under an Infinite Dimensional Compound Poisson Framework |
| title_fullStr | The Analysis of Corporate Bond Valuation under an Infinite Dimensional Compound Poisson Framework |
| title_full_unstemmed | The Analysis of Corporate Bond Valuation under an Infinite Dimensional Compound Poisson Framework |
| title_short | The Analysis of Corporate Bond Valuation under an Infinite Dimensional Compound Poisson Framework |
| title_sort | analysis of corporate bond valuation under an infinite dimensional compound poisson framework |
| url | http://dx.doi.org/10.1155/2014/282185 |
| work_keys_str_mv | AT shengfan theanalysisofcorporatebondvaluationunderaninfinitedimensionalcompoundpoissonframework AT shengfan analysisofcorporatebondvaluationunderaninfinitedimensionalcompoundpoissonframework |