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Three essays on asymmetric information and corporate defaults

Chen, Nan - 2004

Department: Business.

Persistent link: https://www.econbiz.de/10009472060

Two problems in financial engineering

Chen, Nan - 2006

Department: Industrial Engineering and Operations Research.

Persistent link: https://www.econbiz.de/10009472410

Chapter 11, Private Workouts and Corporate Debt Pricing Under Asymmetric Information

Chen, Nan - 2003

This paper studies the valuation of risky corporate debt, the firm's financing decisions and firm strategy during financial distress under asymmetric information. Using Chapter 11 as a costly state verification mechanism in a simple continuous-time setting, we characterize which firms will...

Persistent link: https://www.econbiz.de/10012739571

CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK

Chen, Nan; Kou, S. G. - In: Mathematical Finance 19 (2009) 3, pp. 343-378

Persistent link: https://www.econbiz.de/10005023784

Phase II trial design with Bayesian adaptive randomization and predictive probability

Yin, Guosheng; Chen, Nan; Lee, J. Jack - In: Journal of the Royal Statistical Society Series C 61 (2012) 2, pp. 219-235

Persistent link: https://www.econbiz.de/10010543702

CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK

Chen, Nan; Kou, S.G. - In: Mathematical finance : an international journal of … 19 (2009) 3, pp. 343-378

Persistent link: https://www.econbiz.de/10008270134

Simulation-based estimation of cycle time using quantile regression

Chen, Nan; Zhou, Shiyu - In: IIE transactions / Institute of Industrial Engineers, … 43 (2011) 3, pp. 176-192

Persistent link: https://www.econbiz.de/10008781208

Optimal variability sensitive condition-based maintenance with a Cox PH model

Chen, Nan; Chen, Yong; Li, Zhiguo; Zhou, Shiyu; … - In: International journal of production research : American … 49 (2011) 7, pp. 2083-2101

Persistent link: https://www.econbiz.de/10008813581

Occupation Times of Jump-Diffusion Processes with Double Exponential Jumps and the Pricing of Options

Cai, Ning; Chen, Nan; Wan, Xiangwei - In: Mathematics of operations research 35 (2010) 2, pp. 412-438

Persistent link: https://www.econbiz.de/10008420821

Additive and multiplicative duals for American option pricing

Chen, Nan; Glasserman, Paul - In: Finance and stochastics 11 (2007) 2, pp. 153-180

Persistent link: https://www.econbiz.de/10008222023