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Saita, Leandro - 2006

Persistent link: https://www.econbiz.de/10003965698

Multi-Period Corporate Default Prediction With Stochastic Covariates

Duffie, Darrel; Saita, Leandro; Wang, Ke - Center for Advanced Research in Finance, Faculty of … - 2005

We provide maximum likelihood estimators of term structures of conditional probabilities of corporate default, incorporating the dynamics of firm-specific and macroeconomic covariates. For U.S. Industrial firms, based on over 390,000 firm-months of data spanning 1979 to 2004, the level and shape...

Persistent link: https://www.econbiz.de/10008519581

"Multi-Period Corporate Default Prediction With Stochastic Covariates"

Duffie, Darrel; Saita, Leandro; Wang, Ke - Center for International Research on the Japanese … - 2005

We provide maximum likelihood estimators of term structures of conditional probabilities of corporate default, incorporating the dynamics of firm-specific and m acroeconomic covariates. For U.S. Industrial firms, based on over 390,000 firm-months of data spanning 1979 to 2004, the level and...

Persistent link: https://www.econbiz.de/10005042374

Limited arbitrage between equity and credit markets

Kapadia, Nikunj; Pu, Xiaoling - In: Journal of financial economics 105 (2012) 3, pp. 565-580

Persistent link: https://www.econbiz.de/10009666810

Equilibrium exercise of European warrants

Kapadia, Nikunj; Willette, Gregory - In: Review of derivatives research 15 (2012) 2, pp. 129-156

Persistent link: https://www.econbiz.de/10009629061

Fifteen years of the Russell 2000 buy-write

Kapadia, Nikunj; Szado, Edward - In: The journal of investing 21 (2012) 4, pp. 59-80

Persistent link: https://www.econbiz.de/10009707754

An options-based approach to coordinating distributed decision systems

Ball, Daniel R.; Deshmukh, Abhijit; Kapadia, Nikunj - In: European journal of operational research : EJOR 240 (2015) 3, pp. 706-717

Persistent link: https://www.econbiz.de/10010486966

Correlated default risk

Das, Sanjiv R.; Freed, Laurance; Geng, Gary; Kapadia, Nikunj - In: The journal of fixed income 16 (2006) 2, pp. 7-32

Persistent link: https://www.econbiz.de/10003400058

Stock return characteristics, skew laws, and the differential pricing of individual equity options

Bakshi, Gurdip S.; Kapadia, Nikunj; Madan, Dilip B. - In: The review of financial studies 16 (2003) 1, pp. 101-143

Persistent link: https://www.econbiz.de/10001764187

Delta-hedged gains and the negative market volatility risk premium

Bakshi, Gurdip S.; Kapadia, Nikunj - In: The review of financial studies 16 (2003) 2, pp. 527-566

Persistent link: https://www.econbiz.de/10001764238