1 citations · 1 across the 2 of their papers we have counts for
2 papers
q-fin.PR2018
A closed-form formula for pricing bonds between coupon payments
Sylvia Gottschalk
We derive a closed-form formula for computing bond prices between coupon payments. Our results cover both the `Treasury' and the `Street' pricing methods used by sovereign and corp…
q-fin.RM2016★ 1 cited
Entropy and credit risk in highly correlated markets
Sylvia Gottschalk
We compare two models of corporate default by calculating the Jeffreys-Kullback-Leibler divergence between their predicted default probabilities when asset correlations are either…