Counterparty Risk and the Pricing of Defaultable Securities
暂无分享,去创建一个
[1] F. Black,et al. The Pricing of Options and Corporate Liabilities , 1973, Journal of Political Economy.
[2] R. C. Merton,et al. On the Pricing of Corporate Debt: The Risk Structure of Interest Rates , 1974, World Scientific Reference on Contingent Claims Analysis in Corporate Finance.
[3] David M. Kreps,et al. Martingales and arbitrage in multiperiod securities markets , 1979 .
[4] P. Bremaud,et al. Point Processes and Queues: Martingale Dynamics (Springer Series in Statistics) , 1981 .
[5] J. Harrison,et al. Martingales and stochastic integrals in the theory of continuous trading , 1981 .
[6] P. Brémaud. Point Processes and Queues , 1981 .
[7] P. Brémaud. Point processes and queues, martingale dynamics , 1983 .
[8] D. Heath,et al. Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation , 1990, Journal of Financial and Quantitative Analysis.
[9] Three essays on the term structure , 1989 .
[10] Arthur D. Warga,et al. Some Empirical Estimates of the Risk Structure of Interest Rates , 1989, World Scientific Reference on Contingent Claims Analysis in Corporate Finance.
[11] Alan G. White,et al. Pricing Interest-Rate-Derivative Securities , 1990 .
[12] Anlong Li. Three Essays on Contingent Claims Pricing , 1992 .
[13] D. Duffie. Dynamic Asset Pricing Theory , 1992 .
[14] Jerome S. Fons. Using Default Rates to Model the Term Structure of Credit Risk , 1994 .
[15] H. Leland.. Corporate Debt Value, Bond Covenants, and Optimal Capital Structure , 1994, World Scientific Reference on Contingent Claims Analysis in Corporate Finance.
[16] A. Morton,et al. Implied volatility functions in arbitrage-free term structure models , 1994 .
[17] Eduardo S. Schwartz,et al. A Simple Approach to Valuing Risky Fixed and Floating Rate Debt , 1995 .
[18] R. Jarrow,et al. Pricing Derivatives on Financial Securities Subject to Credit Risk , 1995 .
[19] Robert A. Jarrow,et al. OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS1 , 1995 .
[20] D. Duffie,et al. Swap Rates and Credit Quality , 1996 .
[21] Chunsheng Zhou. A Jump-Diffusion Approach to Modeling Credit Risk and Valuing Defaultable Securities , 1997 .
[22] Arthur D. Warga,et al. The Effect of Bond-Rating Changes on Bond Price Performance , 1997 .
[23] R. Jarrow,et al. A Markov Model for the Term Structure of Credit Risk Spreads , 1997 .
[24] Jean Helwege,et al. The slope of the credit yield curve for speculative-grade issuers , 1999 .
[25] Lea V. Carty,et al. Historical Default Rates of Corporate Bond Issuers, 1920 - 1996 , 1997 .
[26] G. Duffee. The relation between Treasury yields and corporate bond yield spreads , 1998 .
[27] D. Madan,et al. Pricing the risks of default , 1998 .
[28] David Lando,et al. On cox processes and credit risky securities , 1998 .
[29] Haitao Li. Pricing of swaps with default risk , 2002 .
[30] D. Duffie,et al. Modeling term structures of defaultable bonds , 1999 .
[31] Miikka Tauren. A Comparison of Bond Pricing Models in the Pricing of Credit Risk , 1999 .
[32] G. Duffee. Estimating the Price of Default Risk , 1996 .
[33] P. Collin‐Dufresne,et al. The Determinants of Credit Spread Changes , 2001 .
[34] The Determinants of Credit Spread Changes , 2000 .
[35] D. Duffie,et al. Term Structures of Credit Spreads with Incomplete Accounting Information , 2001, World Scientific Reference on Contingent Claims Analysis in Corporate Finance.