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A Direct Approach to Arbitrage-Free Pricing of Derivatives Author info | Abstract | Publisher info | Download info | Related research | Statistics Sanjiv Ranjan Das
Rangarajan K. Sundaram
This paper develops a framework for modelling risky debt and valuing credit derivatives that is flexible
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Paper provided by New York University, Leonard N. Stern School of Business- in its series New York University, Leonard N. Stern School Finance Department Working Paper Seires with number
99-013.
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Date of creation: Nov 1998Date of revision:
Handle: RePEc:fth:nystfi:99-013Contact details of provider: Postal: U.S.A.; New York University, Leonard N. Stern School of Business, Department of Economics . 44 West 4th Street. New York, New York 10012-1126 Web page: http://w4.stern.nyu.edu/finance/ More information through EDIRC
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Keywords: 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.:
Heath, David & Jarrow, Robert & Morton, Andrew, 1990.
"Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation ,"
Journal of Financial and Quantitative Analysis ,
Cambridge University Press, vol. 25(04), pages 419-440, December.
[Downloadable!]
Duffie, Darrell & Huang, Ming, 1996.
" Swap Rates and Credit Quality ,"
Journal of Finance ,
American Finance Association, vol. 51(3), pages 921-49, July.
[Downloadable!] (restricted)
Merton, Robert C., 1973.
"On the pricing of corporate debt: the risk structure of interest rates ,"
Working papers
684-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
[Downloadable!]
Other versions: Mason, Scott P. & Bhattacharya, Sudipto, 1981.
"Risky debt, jump processes, and safety covenants ,"
Journal of Financial Economics ,
Elsevier, vol. 9(3), pages 281-307, September.
[Downloadable!] (restricted)
In Joon Kim & Krishna Ramaswamy & Suresh Sundaresan, .
"The Valuation of Corporate Fixed Income Securities ,"
Rodney L. White Center for Financial Research Working Papers
32-89, Wharton School Rodney L. White Center for Financial Research.
Leland, Hayne E, 1994.
" Corporate Debt Value, Bond Covenants, and Optimal Capital Structure ,"
Journal of Finance ,
American Finance Association, vol. 49(4), pages 1213-52, September.
[Downloadable!] (restricted)
Other versions: Black, Fischer & Scholes, Myron S, 1973.
"The Pricing of Options and Corporate Liabilities ,"
Journal of Political Economy ,
University of Chicago Press, vol. 81(3), pages 637-54, May-June.
[Downloadable!] (restricted)
Jarrow, Robert A & Lando, David & Turnbull, Stuart M, 1997.
"A Markov Model for the Term Structure of Credit Risk Spreads ,"
Review of Financial Studies ,
Oxford University Press for Society for Financial Studies, vol. 10(2), pages 481-523.
Geske, Robert, 1977.
"The Valuation of Corporate Liabilities as Compound Options ,"
Journal of Financial and Quantitative Analysis ,
Cambridge University Press, vol. 12(04), pages 541-552, November.
[Downloadable!]
Gordon Delianedis & Robert Geske, 1998.
"Credit Risk and Risk Neutral Default Probabilities: Information About Migrations and Defaults ,"
University of California at Los Angeles, Anderson Graduate School of Management
1114, Anderson Graduate School of Management, UCLA.
[Downloadable!]
Gregory R. Duffee, 1998.
"The Relation Between Treasury Yields and Corporate Bond Yield Spreads ,"
Journal of Finance ,
American Finance Association, vol. 53(6), pages 2225-2241, December.
[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.)
Jan Ericsson & Kris Jacobs & Rodolfo A. Oviedo, 2004.
"The Determinants of Credit Default Swap Premia ,"
CIRANO Working Papers
2004s-55, CIRANO.
[Downloadable!]
Other versions:
Ericsson, Jan & Jacobs, Kris & Oviedo-Helfenberger, Rodolfo, 2004.
"The Determinants of Credit Default Swap Premia ,"
SIFR Research Report Series
32, Institute for Financial Research.
[Downloadable!] Ericsson, Jan & Jacobs, Kris & Oviedo, Rodolfo, 2009.
"The Determinants of Credit Default Swap Premia ,"
Journal of Financial and Quantitative Analysis ,
Cambridge University Press, vol. 44(01), pages 109-132, February.
[Downloadable!] Roberto Blanco & Simon Brennan & Ian W Marsh, .
"An empirical analysis of the dynamic relationship between investment-grade bonds and credit default swaps ,"
Bank of England working papers
211, Bank of England.
[Downloadable!]
Kwamie Dunbar, 2007.
"US Corporate Default Swap Valuation: The Market Liquidity Hypothesis and Autonomous Credit Risk ,"
Working papers
2007-08, University of Connecticut, Department of Economics.
[Downloadable!]
Other versions:
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This page was last updated on 2009-12-16.
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