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A structural model for credit risk with switching processes and synchronous jumps
16 references·0 citing·29 second hop
A structural model for credit risk with switching processes and synchronous jumps (2014)A structural model for credit risk with s…Structural Models of Corporate Bond Pricing: An Empirical Analysis (2004)Structural Models of Corporat…Lévy Processes and Stochastic Calculus (2004)Lévy Processes and Stochastic…Credit Risk: Modeling, Valuation and Hedging (2004)Credit Risk: Modeling, Valuat…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…Regime Switches in Interest Rates (2002)Regime Switches in Interest R…The Determinants of Credit Spread Changes (2001)The Determinants of Credit Sp…Modeling Term Structures of Defaultable Bonds (1999)Modeling Term Structures of D…On cox processes and credit risky securities (1998)On cox processes and credit r…Processes of normal inverse Gaussian type (1997)Processes of normal inverse G…Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Pricing Derivatives on Financ…A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)A Simple Approach to Valuing …Corporate Debt Value, Bond Covenants, and Optimal Capital Structure (1994)Corporate Debt Value, Bond Co…The Variance Gamma (V.G.) Model for Share Market Returns (1990)The Variance Gamma (V.G.) Mod…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)On the Pricing of Corporate D…The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Default Risk in Equity Returns (2004)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)Option pricing when underlying stock returns are discontinuous (1976)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Corporate financing and investment decisions when firms have information that investors do not have (1984)The theory and practice of corporate finance: evidence from the field (2001)Common risk factors in the returns on stocks and bonds (1993)Prospect Theory and Asset Prices (2001)Credit Spreads and Business Cycle Fluctuations (2012)The cost of capital, corporation finance and the theory of investment (2008)The Relative Contribution of Jumps to Total Price Variance (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)What's Vol Got to Do with It (2010)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)The Theory of Scale Functions for Spectrally Negative Lévy Processes (2012)Fluctuations of Lévy Processes with Applications (2014)
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References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 2003Financial Modelling with Jump Processes3,217 cited
  • 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates2,752 cited
  • 1994Corporate Debt Value, Bond Covenants, and Optimal Capital Structure2,732 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 2001The Determinants of Credit Spread Changes2,253 cited
  • 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt2,090 cited
  • 2004Lévy Processes and Stochastic Calculus2,040 cited
  • 1995Pricing Derivatives on Financial Securities Subject to Credit Risk1,934 cited
  • 1990The Variance Gamma (V.G.) Model for Share Market Returns1,470 cited
  • 1997Processes of normal inverse Gaussian type1,224 cited
  • 1998On cox processes and credit risky securities1,213 cited
  • 2004Credit Risk: Modeling, Valuation and Hedging1,064 cited
  • 2004Structural Models of Corporate Bond Pricing: An Empirical Analysis926 cited

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2002
Regime Switches in Interest Rates
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