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Monotonicities in a Markov Chain Model for Valuing Corporate Bonds Subject to Credit Risk
0 references·6 citing·22 second hop
Monotonicities in a Markov Chain Model for Valuing Corporate Bonds Subject to Credit Risk (1998)Monotonicities in a Markov Chain Model fo…A coupled Markov chain approach to credit risk modeling (2011)A coupled Markov chain approa…On the Pricing of Step-Up Bonds in the European Telecom Sector (2004)On the Pricing of Step-Up Bon…MONOTONICITY AND CONVEXITY OF OPTION PRICES REVISITED (2002)MONOTONICITY AND CONVEXITY OF…Bayesian Migration in Credit Ratings Based on Probabilities of Default (2002)Bayesian Migration in Credit …Evaluation of credit risk of a portfolio with stochastic interest rate and default processes (2000)Evaluation of credit risk of …A Direct Approach to Arbitrage-Free Pricing of Credit Derivatives (1998)A Direct Approach to Arbitrag…The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Martingales and stochastic integrals in the theory of continuous trading (1981)Credit Risk Modelling and Credit Derivatives (2000)Swap Pricing with Two-Sided Default Risk in a Rating-Based Model (2001)US corporate default swap valuation: the market liquidity hypothesis and autonomous credit risk (2008)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)A Markov Model for the Term Structure of Credit Risk Spreads (1997)Coherent Measures of Risk (1999)Optimization of conditional value-at-risk (2000)An equilibrium characterization of the term structure (1977)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)Risk measurement with integrated market and credit portfolio models (2005)Importance sampling for integrated market and credit portfolio models (2008)Intra-daily Volume Modeling and Prediction for Algorithmic Trading (2010)Theory of Rational Option Pricing (1973)Option pricing when underlying stock returns are discontinuous (1976)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)Markov Chain Models of Portfolio Credit Risk (2012)Underinvestment and the design of performance-sensitive debt (2014)
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Cited by

  • 1998A Direct Approach to Arbitrage-Free Pricing of Credit Derivatives37 cited
  • 2004On the Pricing of Step-Up Bonds in the European Telecom Sector34 cited
  • 2000Evaluation of credit risk of a portfolio with stochastic interest rate and default processes33 cited
  • 2011A coupled Markov chain approach to credit risk modeling29 cited
  • 2002MONOTONICITY AND CONVEXITY OF OPTION PRICES REVISITED22 cited
  • 2002Bayesian Migration in Credit Ratings Based on Probabilities of Default20 cited

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