Duffie-Singleton model

Robert Jarrow and David Lando, A Markov Model for the Term Structure of Credit Spreads, Review of Financial Studies 10 (1997), pp. 481-523 Darrell Duffie and Kenneth Singleton, Modelling Term Structures of Defaultable Bonds, Review of Financial Studies (1997). 

Cox, Ingersoll and Ross [22] and Jamshidian [42] demonstrate that closed-form solutions for zero-coupon bond options can be derived for single-factor square root and Gaussian models. More generally, Duffie, Pan and Singleton... 

Duffie, D., Singleton, K., 1993. Simulated moments estimation of Markov models of asset prices. Econometrica 61, 929-952. 

Another reduced model is the one proposed by Duffie and Singleton. In this model, the recovery rate of debt is determined prior to default, that is default and recovery rates are assumed exogenous. The price of bond is given by Equation (8.33) ... 

Duffie, D., Singleton, K.J., 1999. Modeling term structure of defaultable bonds. Rev. Financ. Stud. 12 (4), 687-720. 

The predecessors of the reduced-form models are full Markov chain models including those presented by Jarrow, Lando, and Turnbull, Das and Tufano and Duffie and Singleton. We consider these models in this section. 

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