… We apply the foreign currency analogy of Jarrow and Turnbull (1991) to decompose the
dollar payoff from a risky security into a certain payoff and a “spot exchange rate.” Arbitrage‐free …

… We consider a continuous trading economy with a trading interval [0, r] for a fixed r > 0. The
uncertainty in the economy is characterized by the probability space (Q, F, Q) where Q is the …

This article provides a Markov model for the term structure of credit risk spreads. The model
is based on Jarrow and Turnbull (1995) , with the bankruptcy process following a discrete …

This paper investigates the forecasting accuracy of bankruptcy hazard rate models for US
companies over the time period 1962–1999 using both yearly and monthly observation …

… On this probability space there is an R d -valued process X t , which represents d economy-…
First, let r t denote the spot rate process adapted to F t X . The spot rate process could come …

… Let the risk free rate, r, be constant over [O,t]. Consequently, … r,(A), is set equal to the first
cumulant of the true distribution, … This market test is the subject of another paper [Jarrow and …

We derive alternative representations of the McKean equation for the value of the American
put option. Our main result decomposes the value of an American put option into the …

… Jarrow, and Morton is very abstract and difficult to read. This paper illustrates how to obtain
the continuous time Heath, Jarrow… Given an arbitrary trading time t e [0,T], we write t = tN = r/A …

… Denote by Rnxj the set of all functions mapping ftX T into the real line R. We define $ to be
… Second, we assume that there exists a probability measure P: F —> R satisfying (P(A) = 0 if …

… ) E t Q exp −∫ t T r(s) d s X 1( Γ >T) =1(Γ>t)E t Q exp −∫ t T r(s)+λ(s) d s X , where r(t) is
the … Expression (2.2) represents the expected discounted payoff where the discount rate (r(s)+λ(s…