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An integrated pricing model for defaultable loans and bonds
16 references·0 citing·23 second hop
An integrated pricing model for defaultable loans and bonds (2004)An integrated pricing model for defaultab…Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Term Structures of Credit Spr…Specification Analysis of Affine Term Structure Models (2000)Specification Analysis of Aff…A comparative anatomy of credit risk models (2000)A comparative anatomy of cred…A comparative analysis of current credit risk models (2000)A comparative analysis of cur…Modeling Term Structures of Defaultable Bonds (1999)Modeling Term Structures of D…Estimating the Price of Default Risk (1999)Estimating the Price of Defau…Credit Swap Valuation (1999)Credit Swap ValuationThe Relation Between Treasury Yields and Corporate Bond Yield Spreads (1998)The Relation Between Treasury…A Markov Model for the Term Structure of Credit Risk Spreads (1997)A Markov Model for the Term S…Almost Everything You Wanted to Know about Recoveries on Defaulted Bonds (1996)Almost Everything You Wanted …Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Pricing Derivatives on Financ…A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)A Simple Approach to Valuing …Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options (1990)A One-Factor Model of Interes…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)The arbitrage theory of capital asset pricing (1976)Option pricing: A simplified approach (1979)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)A Theory of the Term Structure of Interest Rates (1985)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Determinants of Credit Spread Changes (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Option pricing when underlying stock returns are discontinuous (1976)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The valuation of options for alternative stochastic processes (1976)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)An equilibrium characterization of the term structure (1977)Default Risk in Equity Returns (2004)Martingales and stochastic integrals in the theory of continuous trading (1981)Stochastic Differential Equations and Diffusion Processes (1983)Pricing Interest-Rate-Derivative Securities (1990)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Forecasting the Term Structure of Government Bond Yields (2003)
this work references cited by second hop

References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*11,230 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt2,119 cited
  • 1995Pricing Derivatives on Financial Securities Subject to Credit Risk2,029 cited
  • 2000Specification Analysis of Affine Term Structure Models1,708 cited
  • 1997A Markov Model for the Term Structure of Credit Risk Spreads1,476 cited
  • 2001Term Structures of Credit Spreads with Incomplete Accounting Information1,321 cited
  • 1990A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options981 cited
  • 2000A comparative analysis of current credit risk models967 cited
  • 1998The Relation Between Treasury Yields and Corporate Bond Yield Spreads778 cited
  • 1999Estimating the Price of Default Risk724 cited
  • 2000A comparative anatomy of credit risk models719 cited
  • 1999Credit Swap Valuation636 cited

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  • 1996Almost Everything You Wanted to Know about Recoveries on Defaulted Bonds483 cited
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