November 1998
Intermediate to advanced
220 pages
6h 36m
English
Content preview from Fixed Income and Interest Rate Derivative Analysis
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142 FIXED INCOME AND INTEREST RATE DERIVATIVE ANALYSIS
so the diagonal elements of H(0) can be chosen so as to match the 1 year
yields of bonds in each credit class. One then proceeds along the yield curve
choosing the elements of II so as to match corporate bond yields.
10.2.6 Options and credit derivatives
The paper by Jarrow, Lando, and Turnbull shows how this model can be
combined with a term-structure model of default-free rates to generate a
relatively simple way of pricing and hedging options on credit-risky bonds
and credit derivatives.
10.3
Further reading
Jarrow, ...
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