1. A more mathematical introduction can be found in Kay Giesecke, “Credit-Risk Modeling and Valuation: An Introduction,” in David Shimko (ed.), Credit-Risk: Models and Management, Vol. 2 (London: Riskbooks, 2004).

2. Fischer Black and Myron Scholes, “The Pricing of Options and Corporate Liabilities,” Journal of Political Economy 81 (1973), pp. 81–98.

3. Robert C. Merton, “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,” Journal of Finance 29 (1974), pp. 449–470.