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Valuation of default-sensitive claims under imperfect information

Author

Listed:
  • Delia Coculescu

    ()

  • Hélyette Geman

    ()

  • Monique Jeanblanc

    ()

Abstract

No abstract is available for this item.

Suggested Citation

  • Delia Coculescu & Hélyette Geman & Monique Jeanblanc, 2008. "Valuation of default-sensitive claims under imperfect information," Finance and Stochastics, Springer, vol. 12(2), pages 195-218, April.
  • Handle: RePEc:spr:finsto:v:12:y:2008:i:2:p:195-218 DOI: 10.1007/s00780-007-0060-6
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    References listed on IDEAS

    as
    1. 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 611-625, July.
    2. Duffie, Darrell & Lando, David, 2001. "Term Structures of Credit Spreads with Incomplete Accounting Information," Econometrica, Econometric Society, vol. 69(3), pages 633-664, May.
    3. 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 449-470, May.
    4. Giesecke, Kay, 2006. "Default and information," Journal of Economic Dynamics and Control, Elsevier, vol. 30(11), pages 2281-2303, November.
    5. K. Borovkov & Alexander Novikov, 2004. "Explicit Bounds for Approximation Rates for Boundary Crossing Probabilities for the Wiener Process," Research Paper Series 115, Quantitative Finance Research Centre, University of Technology, Sydney.
    6. R. J. Elliott & M. Jeanblanc & M. Yor, 2000. "On Models of Default Risk," Mathematical Finance, Wiley Blackwell, vol. 10(2), pages 179-195.
    7. Robert A. Jarrow, 2009. "Credit Risk Models," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 37-68, November.
    8. 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.
    9. Fisher, Lawrence, 1984. " Contingent Claims Analysis of Corporate Capital Structures: An Empirical Investigation," Journal of Finance, American Finance Association, vol. 39(3), pages 625-627, July.
    10. 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.
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    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
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    Cited by:

    1. Jos'e Manuel Corcuera & Arturo Valdivia, 2016. "CoCos under short-term uncertainty," Papers 1602.00094, arXiv.org.
    2. Giorgia Callegaro & Abass Sagna, 2009. "An application to credit risk of a hybrid Monte Carlo-Optimal quantization method," Papers 0907.0645, arXiv.org.
    3. Çetin, Umut, 2012. "On absolutely continuous compensators and nonlinear filtering equations in default risk models," Stochastic Processes and their Applications, Elsevier, vol. 122(11), pages 3619-3647.
    4. Perko, Igor, 2017. "Behaviour-based short-term invoice probability of default evaluation," European Journal of Operational Research, Elsevier, vol. 257(3), pages 1045-1054.
    5. Ruediger Frey & Lars Roesler & Dan Lu, 2017. "Corporate Security Prices in Structural Credit Risk Models with Incomplete Information: Extended Version," Papers 1701.04780, arXiv.org, revised May 2017.
    6. Stefano De Marco & Caroline Hillairet & Antoine Jacquier, 2017. "Shapes of implied volatility with positive mass at zero," Working Papers 2017-77, Center for Research in Economics and Statistics.
    7. Stefano De Marco & Caroline Hillairet & Antoine Jacquier, 2013. "Shapes of implied volatility with positive mass at zero," Papers 1310.1020, arXiv.org, revised May 2017.
    8. Lindset, Snorre & Lund, Arne-Christian & Persson, Svein-Arne, 2014. "Credit risk and asymmetric information: A simplified approach," Journal of Economic Dynamics and Control, Elsevier, vol. 39(C), pages 98-112.
    9. Delia Coculescu & Monique Jeanblanc & Ashkan Nikeghbali, 2012. "Default times, no-arbitrage conditions and changes of probability measures," Finance and Stochastics, Springer, vol. 16(3), pages 513-535, July.
    10. repec:wsi:ijtafx:v:20:y:2017:i:07:n:s0219024917500467 is not listed on IDEAS
    11. Cherubini Umberto & Mulinacci Sabrina & Romagnoli Silvia, 2008. "A lattice model with incomplete information: A credit risk application," Statistics & Risk Modeling, De Gruyter, vol. 26(2), pages 75-88, March.
    12. Umut c{C}etin, 2012. "On absolutely continuous compensators and nonlinear filtering equations in default risk models," Papers 1205.1154, arXiv.org.
    13. Giorgia Callegaro & Abass Sagna, 2009. "An application to credit risk of a hybrid Monte Carlo-Optimal quantization method," Working Papers hal-00400666, HAL.
    14. Rüdiger Frey & Thorsten Schmidt, 2012. "Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering," Finance and Stochastics, Springer, vol. 16(1), pages 105-133, January.
    15. Delia Coculescu, 2009. "From the decompositions of a stopping time to risk premium decompositions," Papers 0912.4312, arXiv.org, revised May 2010.

    More about this item

    Keywords

    Imperfect information; Default time; Hazard process; 60G35; 91B29; 91B26; G12; G13;

    JEL classification:

    • 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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