Allan Mortensen

Independent

Copenhagen Business School

DK - 2000 Frederiksberg C

Denmark

  • Independent

  • Copenhagen Business School

SCHOLARLY PAPERS

3

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21

Scholarly Papers (3)

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1.

Semi-Analytical Valuation of Basket Credit Derivatives in Intensity-Based Models

Number of pages: 35 Posted: 07 Feb 2005
Allan Mortensen
Independent
Downloads 965 (52,356)
Citation 11

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credit derivatives, CDOs, default correlation, intensity-based models, affine jump-diffusions

2.

On the Pricing of Step-Up Bonds in the European Telecom Sector

Number of pages: 42 Posted: 14 May 2004
David Lando and Allan Mortensen
Copenhagen Business School - Department of Finance and Independent
Downloads 502 (122,313)
Citation 10

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defaultable bonds, step-up coupons, rating-based calibration

3.

Revisiting the Slope of the Credit Spread Curve

Journal of Investment Management, Vol. 3, No. 4, Fourth Quarter 2005
Posted: 26 Oct 2005
David Lando and Allan Mortensen
Copenhagen Business School - Department of Finance and Independent

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Term structure of credit spreads, slope, credit default swaps, types of recovery