HURD, T. R. - In: International Journal of Theoretical and Applied … 12 (2009) 08, pp. 1213-1230
Motivated by the interplay between structural and reduced form credit models, we propose to model the firm value process as a time-changed Brownian motion that may include jumps and stochastic volatility effects, and to study the first passage problem for such processes. We are lead to consider...