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Risky debt, jump processes, and safety covenants
16 references·10 citing·22 second hop
Risky debt, jump processes, and safety covenants (1981)Risky debt, jump processes, and safety co…The term structure of credit spreads with jump risk (2001)The term structure of credit …Explaining the Rate Spread on Corporate Bonds (2001)Explaining the Rate Spread on…On financial contracting (1979)On financial contractingDeterminants of corporate borrowing (1977)Determinants of corporate bor…A contingent-claims valuation of convertible securities (1977)A contingent-claims valuation…Valuing Corporate Securities: Some Effects of Bond Indenture Provisions (1976)Valuing Corporate Securities:…VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)VALUING CORPORATE SECURITIES:…Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Theory of the firm: Manageria…The valuation of options for alternative stochastic processes (1976)The valuation of options for …The option pricing model and the risk factor of stock (1976)The option pricing model and …Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…A SURVEY OF SOME NEW RESULTS IN FINANCIAL OPTION PRICING THEORY (1976)A SURVEY OF SOME NEW RESULTS …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…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Credit Implied Volatility (2015)Credit Implied VolatilityCredit Risk Management (2011)Credit Risk ManagementCorporate Pension Funding and Credit Spreads (2007)Corporate Pension Funding and…OPTIMAL PORTFOLIOS WITH DEFAULTABLE SECURITIES A FIRM VALUE APPROACH (2003)OPTIMAL PORTFOLIOS WITH DEFAU…Valuation of Defaultable Claims — A Survey (2002)Valuation of Defaultable Clai…Pricing Credit Derivatives with Rating Transitions (2002)Pricing Credit Derivatives wi…Modeling credit spreads (2002)Modeling credit spreadsA Direct Approach to Arbitrage-Free Pricing of Credit Derivatives (1998)A Direct Approach to Arbitrag…Pricing Risky Debt (1997)Pricing Risky DebtDefault risk and derivative products (1996)Default risk and derivative p…The Problem of Social Cost (1960)Corporate financing and investment decisions when firms have information that investors do not have (1984)Financial Intermediation and Delegated Monitoring (1984)A Survey of Corporate Governance (1997)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Option pricing: A simplified approach (1979)The Pricing of Options on Assets with Stochastic Volatilities (1987)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Dividend Policy, Growth, and the Valuation of Shares (1961)The Capital Structure Puzzle (1984)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of rational option pricing (2005)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)An equilibrium characterization of the term structure (1977)The Nature of the Firm (1937)Separation of Ownership and Control (1983)Law and Finance (1998)The cost of capital, corporation finance and the theory of investment (2008)The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)The Determinants of Credit Spread Changes (2001)The Value of Waiting to Invest (1982)
this work references cited by second hop

References

  • 1976Theory of the firm: Managerial behavior, agency costs and ownership structure71,441 cited
  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1977Determinants of corporate borrowing13,160 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 1979On financial contracting2,901 cited
  • 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates2,752 cited
  • 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS2,383 cited
  • 2001Explaining the Rate Spread on Corporate Bonds1,580 cited
  • 1976The option pricing model and the risk factor of stock1,239 cited
  • 2001The term structure of credit spreads with jump risk511 cited
  • 1977A contingent-claims valuation of convertible securities491 cited
  • 1976Valuing Corporate Securities: Some Effects of Bond Indenture Provisions461 cited

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1976
A SURVEY OF SOME NEW RESULTS IN FINANCIAL OPTION PRICING THEORY
170 cited

Cited by

  • 2002Valuation of Defaultable Claims — A Survey49 cited
  • 1996Default risk and derivative products49 cited
  • 2007Corporate Pension Funding and Credit Spreads44 cited
  • 2011Credit Risk Management41 cited
  • 2002Pricing Credit Derivatives with Rating Transitions40 cited
  • 1997Pricing Risky Debt38 cited
  • 2003OPTIMAL PORTFOLIOS WITH DEFAULTABLE SECURITIES A FIRM VALUE APPROACH37 cited
  • 1998A Direct Approach to Arbitrage-Free Pricing of Credit Derivatives37 cited
  • 2015Credit Implied Volatility32 cited
  • 2002Modeling credit spreads28 cited