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

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Author Info
Martina Nardon () (Ca'Foscari University of Venice)

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Abstract

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File URL: http://www.ffe.esc-lille.com/papers/Vol5-2ms109Nardon.pdf
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Publisher Info
Article provided by Lille Graduate School of Management in its journal Frontiers in Finance and Economics.

Volume (Year): 5 (2008)
Issue (Month): 2 (October)
Pages: 1-25
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Handle: RePEc:ffe:journl:v:5:y:2008:i:2:p:1-25

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Web page: http://www.ffe.esc-lille.com

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Related research
Keywords: credit risk; sturctural models; default boundary; first-passage time; excursion time;

Find related papers by JEL classification:
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
C63 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Computational Techniques
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

Statistics
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This page was last updated on 2009-12-9.

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