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Principles of smooth and continuous fit in the determination of endogenous bankruptcy levels

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Author Info
A. Kyprianou ()
B. Surya ()
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File URL: http://hdl.handle.net/10.1007/s00780-006-0028-y
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Publisher Info
Article provided by Springer in its journal Finance and Stochastics.

Volume (Year): 11 (2007)
Issue (Month): 1 (January)
Pages: 131-152
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Handle: RePEc:spr:finsto:v:11:y:2007:i:1:p:131-152

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Related research
Keywords: Credit risk; Endogenous bankruptcy; Scale functions; Fluctuation identity; Continuous and smooth pasting principles; Wiener–Hopf factorization; C61; 91B28; 91B99; 91B72;

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Hayne E. Leland and Klaus Bjerre Toft., 1995. "Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads," Research Program in Finance Working Papers RPF-259, University of California at Berkeley.
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Décamps, Jean-Paul & Villeneuve, Stéphane, 2008. "On the Modeling of Debt Maturity and Endogenous Default: A Caveat," IDEI Working Papers 528, Institut d'Économie Industrielle (IDEI), Toulouse.
  2. Yu-Ting Chen & Cheng-Few Lee & Yuan-Chung Sheu, 2007. "An ODE approach for the expected discounted penalty at ruin in a jump-diffusion model," Finance and Stochastics, Springer, vol. 11(3), pages 323-355, July. [Downloadable!] (restricted)
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This page was last updated on 2009-11-8.

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