Credit Spreads, Optimal Capital Structure, And Implied Volatility With Endogenous Default And Jump Risk
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Bibliographic InfoArticle provided by Wiley Blackwell in its journal Mathematical Finance.
Volume (Year): 19 (2009)
Issue (Month): 3 ()
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0960-1627
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- Masahiko Egami & Kazutoshi Yamazaki, 2010. "Precautionary Measures for Credit Risk Management in Jump Models," Discussion papers e-10-001, Graduate School of Economics Project Center, Kyoto University.
- Wei Xiong & Zhiguo He, 2010.
"Rollover Risk and Credit Risk,"
2010 Meeting Papers
98, Society for Economic Dynamics.
- Flavia Barsotti, 2012. "Optimal Capital Structure with Endogenous Default and Volatility Risk," Working Papers - Mathematical Economics 2012-02, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
- Budhi Arta Surya & Kazutoshi Yamazaki, 2011. "Optimal Capital Structure with Scale Effects under Spectrally Negative Levy Models," Papers 1109.0897, arXiv.org, revised Dec 2013.
- Hao, Xuemiao & Li, Xuan & Shimizu, Yasutaka, 2013. "Finite-time survival probability and credit default swaps pricing under geometric Lévy markets," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 14-23.
- Wim Schoutens & Geert Damme, 2011. "The β-variance gamma model," Review of Derivatives Research, Springer, vol. 14(3), pages 263-282, October.
- Peter Christoffersen & Du Du & Redouane Elkamhi, 2013. "Rare Disasters and Credit Market Puzzles," CREATES Research Papers 2013-45, School of Economics and Management, University of Aarhus.
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