Valuing defaultable bonds: an excursion time approach
Year of publication: |
2005-11-28
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Authors: | Nardon, Martina |
Institutions: | EconWPA |
Subject: | Credit risk | structural models | excursion approach | default threshold | default probability |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Type of Document - pdf; pages: 16 16 pages |
Classification: | C15 - Statistical Simulation Methods; Monte Carlo Methods ; C63 - Computational Techniques ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing |
Source: |
-
First Passage and Excursion Time Models for Valuing Defautltable Bonds: a Review with Some Insights
Nardon, Martina, (2008)
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Completing CVA and Liquidity : Firm-Level Positions and Collateralized Trades
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European option pricing with constant relative sensitivity probability weighting function
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Extracting information on implied volatilities and discrete dividends from American options prices
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Prospect theory: An application to European option pricing
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