Allan Mortensen

Independent

No Address Available

Copenhagen Business School

DK - 2000 Frederiksberg C

Denmark

SCHOLARLY PAPERS

3

DOWNLOADS
Rank 34,813

SSRN RANKINGS

Top 34,813

in Total Papers Downloads

1,262

CITATIONS
Rank 32,054

SSRN RANKINGS

Top 32,054

in Total Papers Citations

17

Scholarly Papers (3)

1.

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

Number of pages: 35 Posted: 07 Feb 2005
Allan Mortensen
Independent
Downloads 887 (25,613)
Citation 2

Abstract:

Loading...

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

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

EFMA 2004 Basel Meetings Paper
Number of pages: 42 Posted: 14 May 2004
David Lando and Allan Mortensen
Copenhagen Business School and Independent
Downloads 375 (77,276)
Citation 10

Abstract:

Loading...

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

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

Journal of Credit Risk, Vol. 1, No. 1, pp. 71-111, Winter 2004/2005
Posted: 28 Apr 2005
David Lando and Allan Mortensen
Copenhagen Business School and Independent

Abstract:

Loading...

Step-up bonds, corporate bonds, telecom sector, telecoms

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 and Independent

Abstract:

Loading...

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