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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)

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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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    File URL: http://www.ffe.esc-lille.com/papers/Vol5-2ms109Nardon.pdf
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    Cited by:

    1. Martina Nardon, 2005. "Valuing defaultable bonds: an excursion time approach," Finance 0511015, EconWPA.
    2. Roman N. Makarov, 2016. "Modeling liquidation risk with occupation times," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(04), pages 1-11, December.

    More about this item

    Keywords

    credit risk; sturctural models; default boundary; first-passage time; excursion time;

    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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