Similar Search Results

Quadratic Term Structure Models in Discrete Time

Realdon, Marco - Department of Economics and Related Studies, University … - 2006

bonds are provided even in the presence of multiple correlated underlying factors. Pricing bond options requires simple …

Persistent link: https://www.econbiz.de/10005129640

Equity Valuation Under Stochastic Interest Rates

Realdon, Marco - Department of Economics and Related Studies, University … - 2006

This paper presents an equity valuation model that employs risk-neutral valuation under stochastic interest rates along the lines of Ohlson and Feltham (1999). Closed form valuation formulae for equities are presented in a discrete time setting whereby the short term interest rate is modelled by...

Persistent link: https://www.econbiz.de/10005523978

Coupon Bond Valuation with a Non-Affine Discount Yield Model

Spencer, Peter D - Department of Economics and Related Studies, University …

rate options can be backed out of these formulae by Laplace inversion, overcoming a major problem with the original Ahn and …

Persistent link: https://www.econbiz.de/10005695827

Option Pricing and Spikes in Volatility: Theoretical and Empirical Analysis

Zerilli, Paola - Department of Economics and Related Studies, University … - 2007

This paper considers a financial market where the asset prices and the corresponding volatility are driven by a multidimensional mixture of Wiener shocks and Poisson jumps. While implied volatility is characterized by spikes, the existing models rely on the restrictive assumption of positive...

Persistent link: https://www.econbiz.de/10005695841

The behavior of the hazard rate in the Gaussian structural default model under asymmetric information

Spencer, Peter - Department of Economics and Related Studies, University … - 2013

This paper shows that the standard and deferred filtration structural models of corporate default are isomorphic, allowing the insights of the standard full information setting to be carried over to the more complex case of asymmetric information. It shows that the accounting lag, which provides...

Persistent link: https://www.econbiz.de/10010690502

Valuation of Put Options on Leveraged Equity

Realdon, Marco - Department of Economics and Related Studies, University …

This paper presents new closed form solutions for the valuation of European put options and of "down-an-in" barrier … options written on leveraged equity. Unlike in past literature (Toft and Prucyk, 1997) and in keeping with empirical evidence … significantly alter the valuation of equity put and "down-and-in" options as bankruptcy costs, bargaining power of equity holders …

Persistent link: https://www.econbiz.de/10005328394

Book Values and Market Values of Equity and Debt

Realdon, Marco - Department of Economics and Related Studies, University … - 2006

earnings volatility, because of the options to default or to voluntarily liquidate the firms. Debt value increases in earnings …

Persistent link: https://www.econbiz.de/10005328505

Convertible Subordinated Debt Valuation and "Conversion in Distress"

Realdon, Marco - Department of Economics and Related Studies, University …

This paper presents new formulae for the valuation of convertible debt and shows how it can be rational for convertible holders to convert not only when the debtor's equity value increases, ut also when the debtor approaches distress. Even if debt cannot be enegotiated, "conversion in distress"...

Persistent link: https://www.econbiz.de/10005328571

Extended-Gaussian Term Structure Models and Credit Risk Applications

Realdon, Marco - Department of Economics and Related Studies, University … - 2007

This paper presents three factor "Extended Gaussian" term struc- ture models (EGM) to price default-free and defaultable bonds. To price default-free bonds EGM assume that the instantaneous interest rate is a possibly non-linear but monotonic function of three latent factors that follow...

Persistent link: https://www.econbiz.de/10005129622

Valuation of the Firm's Liabilities when Equity Holders are also Creditors

Realdon, Marco - Department of Economics and Related Studies, University … - 2006

This paper presents a tractable structural model whereby controlling equity holders are also among the creditors of the firm. As the firm approaches distress, equity holders can depauperate the firm and expropriate other creditors by repaying their credit before bankruptcy. The bankruptcy...

Persistent link: https://www.econbiz.de/10005129638