Contents
1 Defaultable Claims 2
2 Merton's (1974) Model of Corporate Debt 8
3 Zhou's (1996) Model 14
4 Properties of First Passage Times 18
5 Black and Cox (1976) Model 27
6 Black and Cox Model with Random Interest Rates 35
7 Intensity-Based Valuation of Defaultable Claims 42
8 Various Recovery Schemes 51
9 Hazard Function of a Random Time 58
10 Hazard Process of a Random Time 74
11 Poisson Process and Conditional Poisson Process 82