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Asymptotic traveling wave solution for a credit rating migration problem · Study

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ArticleAsymptotic traveling wave solution for a credit rating migration problem

Jin Liang2016

OA

Articlebronze2016

Asymptotic traveling wave solution for a credit rating migration problem

Jin Liang · Yuan Wu · Bei Hu

23 citations·0/0 files stored·Journal of Differential Equations

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Stochastic processes and financial applications Differential Equations and Boundary Problems Credit Risk and Financial Regulations

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References

1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1994Corporate Debt Value, Bond Covenants, and Optimal Capital Structure 1999Modeling Term Structures of Defaultable Bonds 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt 1995Pricing Derivatives on Financial Securities Subject to Credit Risk 1996Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads 1997A Markov Model for the Term Structure of Credit Risk Spreads

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2018On a New Corporate Bond Pricing Model with Potential Credit Rating Change and Stochastic Interest Rate

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Year2016

Typearticle

Published2016-04-13

VenueJournal of Differential Equations

ISSN-L0022-0396

Languageen

Citations23

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jde.2016.03.032

openalex_workW2337209752

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