Three essays on the pricing of fixed income securities with credit risk
This thesis studies the impacts of credit risk, or the risk of default, on the pricing of fixed income securities. It consists of three essays. The first essay extends the classical corporate debt pricing model in Merton (1974) to incorporate stochastic volatility (SV) in the underlying firm asse...
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| Format: | Others |
| Language: | en |
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McGill University
2004
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| Online Access: | http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=84523 |