This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Valuation of default-sensitive claims under imperfect information

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Delia Coculescu ()
Hélyette Geman ()
Monique Jeanblanc ()
Abstract

No abstract is available for this item.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://hdl.handle.net/10.1007/s00780-007-0060-6
File Format: text/html
File Function:
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Publisher Info
Article provided by Springer in its journal Finance and Stochastics.

Volume (Year): 12 (2008)
Issue (Month): 2 (April)
Pages: 195-218
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:spr:finsto:v:12:y:2008:i:2:p:195-218

Contact details of provider:
Web page: http://www.springerlink.com/content/101164/

Order Information:
Web: http://link.springer.de/orders.htm

For technical questions regarding this item, or to correct its listing, contact: (Christopher F Baum).

Related research
Keywords: Imperfect information; Default time; Hazard process; 60G35; 91B29; 91B26; G12; G13;

Other versions of this item:

References listed on IDEAS
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. Bernard, Carole & Le Courtois, Olivier & Quittard-Pinon, Francois, 2005. "Market value of life insurance contracts under stochastic interest rates and default risk," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 499-516, June. [Downloadable!] (restricted)
  2. Fisher, Lawrence, 1984. " Contingent Claims Analysis of Corporate Capital Structures: An Empirical Investigation," Journal of Finance, American Finance Association, vol. 39(3), pages 625-27, July. [Downloadable!] (restricted)
  3. Jones, E Philip & Mason, Scott P & Rosenfeld, Eric, 1984. " Contingent Claims Analysis of Corporate Capital Structures: An Empirical Investigation," Journal of Finance, American Finance Association, vol. 39(3), pages 611-25, July. [Downloadable!] (restricted)
  4. Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 29(2), pages 449-70, May. [Downloadable!] (restricted)
    Other versions:
  5. Lando, David & Skodeberg, Torben M., 2002. "Analyzing rating transitions and rating drift with continuous observations," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 423-444, March. [Downloadable!] (restricted)
  6. Duffie, Darrell & Lando, David, 2001. "Term Structures of Credit Spreads with Incomplete Accounting Information," Econometrica, Econometric Society, vol. 69(3), pages 633-64, May.
  7. Giesecke, Kay, 2006. "Default and information," Journal of Economic Dynamics and Control, Elsevier, vol. 30(11), pages 2281-2303, November. [Downloadable!] (restricted)
Full references

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. Giorgia Callegaro & Abass Sagna, 2009. "An application to credit risk of a hybrid Monte Carlo-Optimal quantization method," Quantitative Finance Papers 0907.0645, arXiv.org. [Downloadable!]
  2. Giorgia Callegaro & Abass Sagna, 2009. "An application to credit risk of a hybrid Monte Carlo-Optimal quantization method," Working Papers hal-00400666_v1, HAL. [Downloadable!]
Statistics
Access and download statistics

Did you know? The most prolific authors have over 700 items listed on IDEAS.

This page was last updated on 2009-11-25.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.