Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Comprehensive Unified Models of Structural and Reduced Form Models for
  Defaultable Fixed Income Bonds (Part 1: One factor-model, Part 2:Two
  factors-model)   Pricing formulae for defaultable corporate bonds with discrete coupons under
consideration of the government taxes in the united model of structural and
reduced form models are provided. The aim of this paper is to generalize the
comprehensive structural model for defaultable fixed income bonds (considered
in [1]) into a comprehensive unified model of structural and reduced form
models. Here we consider the one factor model and the two factor model. In the
one factor model the bond holders receive the deterministic coupon at
predetermined coupon dates and the face value (debt) and the coupon at the
maturity as well as the effect of government taxes which are paid on the
proceeds of an investment in bonds is considered under constant short rate. In
the two factor model the bond holders receive the stochastic coupon (discounted
value of that at the maturity) at predetermined coupon dates and the face value
(debt) and the coupon at the maturity as well as the effect of government taxes
which are paid on the proceeds of an investment in bonds is considered under
stochastic short rate. The expected default event occurs when the equity value
is not enough to pay coupon or debt at the coupon dates or maturity and
unexpected default event can occur at the first jump time of a Poisson process
with the given default intensity provided by a step function of time variable.
We consider the model and pricing formula for equity value and using it
calculate expected default barrier. Then we provide pricing model and formula
for defaultable corporate bonds with discrete coupons and consider its duration
and the effect of the government taxes.

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The categories of this paper are: funct-an
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The categories of this paper are: math-ph
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The categories of this paper are: acc-phys
3
The categories of this paper are: physics
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The categories of this paper are: eess
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The categories of this paper are: patt-sol
2
The categories of this paper are: math
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The categories of this paper are: chao-dyn
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The categories of this paper are: mtrl-th
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The categories of this paper are: gr-qc
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The categories of this paper are: solv-int
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The categories of this paper are: chem-ph
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The categories of this paper are: nucl-th
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The categories of this paper are: quant-ph
1
The categories of this paper are: cs
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The categories of this paper are: cmp-lg