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First Passage and Excursion Time Models for Valuing Defautltable Bonds: a Review with Some Insights

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  • Martina Nardon

    (Ca'Foscari University of Venice)

Abstract

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Suggested Citation

  • Martina Nardon, 2008. "First Passage and Excursion Time Models for Valuing Defautltable Bonds: a Review with Some Insights," Frontiers in Finance and Economics, SKEMA Business School, vol. 5(2), pages 1-25, October.
    • Handle: RePEc:ffe:journl:v:5:y:2008:i:2:p:1-25
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    More about this item

    Keywords

    credit risk; sturctural models; default boundary; first-passage time; excursion time;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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