ABSTRACT

The term structure of interest rates and credit spreads are the most significant factors for the pricing of loans and bonds. Due to the appearance of more complex credit instruments such as callable bonds, credit derivatives etc. it is even more important to have adequate models for these factors. This paper provides a survey of existing models for interest rates and credit risk with respect to their importance for the pricing of callable bonds. Finally, it illustrates a possible pricing procedure of loans with prepayment option using the Heath-Jarrow-Morton and Jarrow-Lando-Turbull model by an example.

CONTENTS

ABSTRACT 2
CHAPTER 1 INTRODUCTION AND OVERVIEW 6
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CHAPTER 2 TERM STRUCTURE MODELS OF INTEREST RATE 9
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CHAPTER 3 CREDIT RISK MODELS 26
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CHAPTER 4 OPTION PRICING MODELS 43
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CHAPTER 5 PRICING FOR LOAN INSTRUMENTS WITH PREPAYMENT OPTION 54
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CHAPTER 6 SUMMARY AND FUTURE WORK 78
REFERENCES 80

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