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Stochastic Volatility Effects on Defaultable Bonds
16 references·16 citing·32 second hopsampled
Stochastic Volatility Effects on Defaultable Bonds (2006)Stochastic Volatility Effects on Defaulta…Journal of Economic Dynamics and Control (2013)Journal of Economic Dynamics …Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Structural Models of Corporate Bond Pricing: An Empirical Analysis (2004)Structural Models of Corporat…Credit Risk: Modeling, Valuation and Hedging (2004)Credit Risk: Modeling, Valuat…Credit Risk (2003)Credit RiskThe term structure of credit spreads with jump risk (2001)The term structure of credit …Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Term Structures of Credit Spr…Do Credit Spreads Reflect Stationary Leverage Ratios? (2001)Do Credit Spreads Reflect Sta…Derivatives in Financial Markets with Stochastic Volatility (2000)Derivatives in Financial Mark…Brownian Motion and Stochastic Calculus (1998)Brownian Motion and Stochasti…The Mathematics of Financial Derivatives (1995)The Mathematics of Financial …A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)A Simple Approach to Valuing …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:…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…Stochastic Volatility and Asset Pricing Puzzles (2018)Stochastic Volatility and Ass…Structural GARCH: The Volatility-Leverage Connection (2017)Structural GARCH: The Volatil…Pricing vulnerable options under a stochastic volatility model (2014)Pricing vulnerable options un…Cash flow volatility and corporate bond yield spreads (2014)Cash flow volatility and corp…Sovereign and Financial-Sector Risk: Measurement and Interactions (2012)Sovereign and Financial-Secto…Constant Proportion Debt Obligations: A Postmortem Analysis of Rating Models (2011)Constant Proportion Debt Obli…McMC Estimation of Multiscale Stochastic Volatility Models (2010)McMC Estimation of Multiscale…INCORPORATING RISK AND AMBIGUITY AVERSION INTO A HYBRID MODEL OF DEFAULT (2010)INCORPORATING RISK AND AMBIGU…Interacting particle systems for the computation of rare credit portfolio losses (2009)Interacting particle systems …First-passage and risk evaluation under stochastic volatility (2009)First-passage and risk evalua…Modeling correlated defaults: first passage model under stochastic volatility (2008)Modeling correlated defaults:…A Structural Model with Unobserved Default Boundary (2008)A Structural Model with Unobs…Utility Valuation of Credit Derivatives: Single and Two-Name Cases (2007)Utility Valuation of Credit D…Turbo Warrants Under Stochastic Volatility (2006)Turbo Warrants Under Stochast…Multiscale Intensity Models for Single Name Credit Derivatives (2006)Multiscale Intensity Models f…CREDIT RISK MODELS II: STRUCTURAL MODELS (2006)CREDIT RISK MODELS II: STRUCT…Corporate Debt Value, Bond Covenants, and Optimal Capital Structure (1994)Modeling Term Structures of Defaultable Bonds (1999)Quantitative models for operational risk: Extremes, dependence and aggregation (2006)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Structural versus Reduced‐Form Models: A New Information‐Based Perspective (2012)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The Determinants of Credit Spread Changes (2001)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)Corporate bond liquidity before and after the onset of the subprime crisis (2011)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)An equilibrium characterization of the term structure (1977)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Default Risk in Equity Returns (2004)Generalized autoregressive conditional heteroskedasticity (1986)The Determinants of Credit Default Swap Premia (2009)A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk (2014)The cost of capital, corporation finance and the theory of investment (2008)Survival Analysis Methods for Personal Loan Data (2002)Fractional Diffusion Models of Option Prices in Markets With Jumps (2006)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)Does Option Compensation Increase Managerial Risk Appetite? (2000)Range‐Based Estimation of Stochastic Volatility Models (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)
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References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 2007Brownian Motion and Stochastic Calculus7,421 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
  • 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt2,090 cited
  • 1998Brownian Motion and Stochastic Calculus2,043 cited
  • 2001Term Structures of Credit Spreads with Incomplete Accounting Information1,321 cited
  • 2004Credit Risk: Modeling, Valuation and Hedging1,064 cited
  • 1995The Mathematics of Financial Derivatives1,037 cited
  • 2004Structural Models of Corporate Bond Pricing: An Empirical Analysis926 cited
  • 2000Derivatives in Financial Markets with Stochastic Volatility916 cited
  • 2013Journal of Economic Dynamics and Control864 cited
  • 2001Do Credit Spreads Reflect Stationary Leverage Ratios?765 cited
  • 2003Credit Risk560 cited
  • 2001The term structure of credit spreads with jump risk511 cited
  • 1976Valuing Corporate Securities: Some Effects of Bond Indenture Provisions

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461 cited

Cited by

  • 2014Pricing vulnerable options under a stochastic volatility model72 cited
  • 2014Cash flow volatility and corporate bond yield spreads60 cited
  • 2009Interacting particle systems for the computation of rare credit portfolio losses58 cited
  • 2012Sovereign and Financial-Sector Risk: Measurement and Interactions49 cited
  • 2010INCORPORATING RISK AND AMBIGUITY AVERSION INTO A HYBRID MODEL OF DEFAULT46 cited
  • 2009First-passage and risk evaluation under stochastic volatility45 cited
  • 2018Stochastic Volatility and Asset Pricing Puzzles44 cited
  • 2006CREDIT RISK MODELS II: STRUCTURAL MODELS43 cited
  • 2008Modeling correlated defaults: first passage model under stochastic volatility35 cited
  • 2006Multiscale Intensity Models for Single Name Credit Derivatives32 cited
  • 2017Structural GARCH: The Volatility-Leverage Connection30 cited
  • 2006Turbo Warrants Under Stochastic Volatility29 cited
  • 2011Constant Proportion Debt Obligations: A Postmortem Analysis of Rating Models28 cited
  • 2010McMC Estimation of Multiscale Stochastic Volatility Models24 cited
  • 2008A Structural Model with Unobserved Default Boundary23 cited
  • 2007Utility Valuation of Credit Derivatives: Single and Two-Name Cases21 cited