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On cox processes and credit risky securities · Study

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ArticleOn cox processes and credit risky securities

David Lando1998

Article1998

On cox processes and credit risky securities

1,213 citations·0/0 files stored·Review of Derivatives Research

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Credit Risk and Financial Regulations Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1973The Pricing of Options and Corporate Liabilities 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*2007Brownian Motion and Stochastic Calculus 1993Dynamic Asset Pricing Theory.1999Modeling Term Structures of Defaultable Bonds 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt 1995Pricing Derivatives on Financial Securities Subject to Credit Risk 1988Brownian Motion and Stochastic Calculus

Cited by

2001Term Structures of Credit Spreads with Incomplete Accounting Information 2004Credit Risk: Modeling, Valuation and Hedging 2003Affine processes and applications in finance 2008Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads 2005The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications*2001Counterparty Risk and the Pricing of Defaultable Securities

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2000Continuous‐Time Methods in Finance: A Review and an Assessmentarticle · 9 shared references 2001Term Structures of Credit Spreads with Incomplete Accounting Informationarticle · 8 shared references 2005Credit risk modeling with affine processesarticle · 8 shared references 2002Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcyarticle · 8 shared references 2004Bond Pricing with Default Riskpreprint · 8 shared references 2001Counterparty Risk and the Pricing of Defaultable Securitiesarticle · 7 shared references

Details

Year1998

Typearticle

Published1998-12-01

VenueReview of Derivatives Research

ISSN-L1380-6645

Languageen

Citations1,213

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.1007/bf01531332

openalex_workW2084716442

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1999

Credit Swap Valuation

2001Risk and Valuation of Collateralized Debt Obligations