International Conference on Engineering and Business Management(EBM2013)(Paperback)
Wuhan,China,2013-03-112013-03-132013
ISBN: 978-1-61896-021-4 Scientific Research Publishing
E-Book 512pp Pub. Date: March 2013
Category: Business & Economics
Price: $200
This paper presents a model for pricing defaultable debt under the Gaussian Heath, Jarrow and Morton’s (HJM) framework. The forward interest rate is assumed to be governed by Gaussian HJM model. The problem of pricing risky debt is studied by following structural approach with the forward measure techniques. An explicit formula for the price of defaultable debt is given.