… We apply the foreign currency analogy of Jarrow and Turnbull (1991) to decompose the
dollar payoff from a risky security into a certain payoff and a “spot exchange rate.” Arbitrage-free …

This article provides a Markov model for the term structure of credit risk spreads. The model
is based on Jarrow and Turnbull (1995) , with the bankruptcy process following a discrete …

… We did so in previous work [Melino and Turnbull (198711 and found that the Gaussian quasi-…
Melino and Turnbull (1987)] we will minimize the expression given in eq. (11) for a grid of …

… The paper was first written while Turnbull was visiting at the Australian Graduate School of
Management. Helpful discussions with Ian Cooper, David Emanuel (of Emanuel and Macbeth …

… the work of Myers [11] and Turnbull [17]. Myers's discrete time frameword is used. This
sacrifices some of the rigor and generality of Turnbull's results, but is adequate for present …

… We will also discuss the question of correlation and its role in the Jarrow–Turnbull model. …
Following Jarrow and Turnbull (1997b), we show how to augment the Jarrow–Turnbull model …

It has been a stressful time for ultra-high-net-worth families since the beginning of the new
millennium. In addition to recent widespread vilification of the wealthy, they, like other investors…

… of the adjusted present value formula and numerical examples are given in Turnbull [18]. …
SM Turnbull. "Debt Capacity and the Investment Decision". Working Paper, Department of …

The results of this paper describe some of the factors which affect the repetitive operation of
high-pressure gas switches (spark gaps) for both pulse-charged and DC-charged operation. …

Observable covariates are useful for predicting default, but several studies question their
value for explaining credit spreads. We introduce a discrete-time no-arbitrage model with …