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First Passage And Excursion Time Models For Valuing Defaultable Bonds
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Book Synopsis First Passage and Excursion Time Models for Valuing Defaultable Bonds by : Martina Nardon
Download or read book First Passage and Excursion Time Models for Valuing Defaultable Bonds written by Martina Nardon and published by . This book was released on 2009 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this contribution, we study structural models of defaultable bond pricing in which default occurs at the first time a relevant process either reaches the default boundary or has spent continuously (or cumulatively) a fixed time period below that threshold. Unlike first-passage time approaches, excursion time models allow for a non-absorbing state of default. Both the first-passage time and the excursion time approaches can be generalized by defining the default time as the first instant at which the firm value process (or another signaling process) either remains a certain time below the default threshold or hits a lower barrier. This corresponds, for instance, to a situation in which a firm is allowed temporarily to be short of funds, but enters default immediately when the financial distress becomes severe. Moreover, we examine the effects of different default time specifications on bond prices and credit spreads.
Book Synopsis Valuing Defaultable Bonds by : Martina Nardon
Download or read book Valuing Defaultable Bonds written by Martina Nardon and published by . This book was released on 2009 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recently there has been some interest in the credit risk literature in models which involve stopping times related to excursions. The classical Black-Scholes-Merton-Cox approach postulates that default may occur, either at or before maturity, when the firm's value process falls below a critical threshold. In the excursion approach the duration of default, the time period from the financial distress announcement through its resolution, is explicitly modeled. In this contribution, we provide a review of the literature on excursion time models of credit risk. Moreover, we examine the effects on credit spreads structure of different specifications of the event that triggers default.
Book Synopsis A General First Passage Time Model for Multivariate Credit Spreads and a Note on Barrier Option Pricing by : Stefanie Kammer
Download or read book A General First Passage Time Model for Multivariate Credit Spreads and a Note on Barrier Option Pricing written by Stefanie Kammer and published by . This book was released on 2007 with total page 158 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis An Exact Formula for Pricing Defaultable Bonds by : Chebbi Tarek
Download or read book An Exact Formula for Pricing Defaultable Bonds written by Chebbi Tarek and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper derives a closed-form solution for pricing defaultable bonds by replacing numerical inversion of Laplace transformation proposed by Cathcart and El-Jahel (1998). Note here that in the in-between approach, the signaling variable (i.e., the default event process) and the interest rates are independent. Hence, the forward-neutral and the risk-neutral default probabilities are the same. Furthermore, since default event is described by the first hitting time of a geometric Brownian motion to a fixed barrier, the forward-neutral default probability admits an analytical solution. The construction has a simple and intuitive economic interpretation and essentially may improve the structural approach performance. The paper provides quantitative guidance to practitioners who use default probabilities in market asset valuation.
Book Synopsis Semi-analytical Pricing of Defaultable Bonds in a Signaling-jump Default Model by :
Download or read book Semi-analytical Pricing of Defaultable Bonds in a Signaling-jump Default Model written by and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The First Passage Time Problem in Contingent Valuation by : Jihe Song
Download or read book The First Passage Time Problem in Contingent Valuation written by Jihe Song and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper introduces the concept of first passage time to the general readers and demonstrates its importance and general applications to option pricing and models of real options. Properties of the first passage probability are derived and their implications are indicated.
Book Synopsis Defaultable Bonds and Default Correlation by : Lara Cathcart
Download or read book Defaultable Bonds and Default Correlation written by Lara Cathcart and published by . This book was released on 2003 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides a closed form solution for the pricing of defaultable bonds and default correlation. In a stochastic interest rates framework default occurs when the value of the assets of the firm either hits a stochastic boundary of default or according to a stochastic hazard rate. The model combines the advantages of structural and reduced form models and thus generates credit spreads and default correlations consistent with empirical observation.
Book Synopsis A Comprehensive Unified Model of Structural and Reduced Form Models for Defaultable Fixed Income Bonds by : Hyong-Chol O.
Download or read book A Comprehensive Unified Model of Structural and Reduced Form Models for Defaultable Fixed Income Bonds written by Hyong-Chol O. and published by . This book was released on 2013 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of this paper is to generalize the comprehensive structural model for defaultable fixed income bonds (considered in) into a comprehensive unified model of structural and reduced form models. In our model the bond holders receive the deterministic coupon at predetermined coupon dates and the face value (debt) and the coupon at the maturity as well as the effect of government taxes which are paid on the proceeds of an investment in bonds is considered under constant short rate. The expected default event occurs when the equity value is not enough to pay coupon or debt at the coupon dates or maturity and unexpected default event can occur at any time interval with the probability of given default intensity (provided by a step function of time variable) multiplied by the length of the time interval. We consider the model and pricing formula for equity value and using it calculate expected default barrier. Then We provide pricing model and formula for defaultable corporate bonds with discrete coupons, and consider the duration and the effect of the government taxes.
Book Synopsis Pricing Defaultable Bonds by : Per Frederiksen
Download or read book Pricing Defaultable Bonds written by Per Frederiksen and published by . This book was released on 2002 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Defaultable Bond Pricing Model with Nonlinear Dependency Among Interest, Default, Recovery Rates by : 魏麗容
Download or read book Defaultable Bond Pricing Model with Nonlinear Dependency Among Interest, Default, Recovery Rates written by 魏麗容 and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Dynamic Asset Pricing Theory by : Darrell Duffie
Download or read book Dynamic Asset Pricing Theory written by Darrell Duffie and published by Princeton University Press. This book was released on 2010-01-27 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for doctoral students and researchers on the theory of asset pricing and portfolio selection in multiperiod settings under uncertainty. The asset pricing results are based on the three increasingly restrictive assumptions: absence of arbitrage, single-agent optimality, and equilibrium. These results are unified with two key concepts, state prices and martingales. Technicalities are given relatively little emphasis, so as to draw connections between these concepts and to make plain the similarities between discrete and continuous-time models. Readers will be particularly intrigued by this latest edition's most significant new feature: a chapter on corporate securities that offers alternative approaches to the valuation of corporate debt. Also, while much of the continuous-time portion of the theory is based on Brownian motion, this third edition introduces jumps--for example, those associated with Poisson arrivals--in order to accommodate surprise events such as bond defaults. Applications include term-structure models, derivative valuation, and hedging methods. Numerical methods covered include Monte Carlo simulation and finite-difference solutions for partial differential equations. Each chapter provides extensive problem exercises and notes to the literature. A system of appendixes reviews the necessary mathematical concepts. And references have been updated throughout. With this new edition, Dynamic Asset Pricing Theory remains at the head of the field.
Author :American Bar Association. House of Delegates Publisher :American Bar Association ISBN 13 :9781590318737 Total Pages :216 pages Book Rating :4.3/5 (187 download)
Book Synopsis Model Rules of Professional Conduct by : American Bar Association. House of Delegates
Download or read book Model Rules of Professional Conduct written by American Bar Association. House of Delegates and published by American Bar Association. This book was released on 2007 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Model Rules of Professional Conduct provides an up-to-date resource for information on legal ethics. Federal, state and local courts in all jurisdictions look to the Rules for guidance in solving lawyer malpractice cases, disciplinary actions, disqualification issues, sanctions questions and much more. In this volume, black-letter Rules of Professional Conduct are followed by numbered Comments that explain each Rule's purpose and provide suggestions for its practical application. The Rules will help you identify proper conduct in a variety of given situations, review those instances where discretionary action is possible, and define the nature of the relationship between you and your clients, colleagues and the courts.
Book Synopsis Pricing Convertible Bonds by : Kevin B. Connolly
Download or read book Pricing Convertible Bonds written by Kevin B. Connolly and published by Wiley. This book was released on 1998-10-15 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Convertible Bonds (CB) market is growing all the time. To date, over one trillion dollars worth of CBs are in circulation. Corporations are finding this source of fund-raising more and more attractive. And for different reasons, the buyers are finding CBs increasingly attractive investment vehicles. There are few works on the subject of pricing convertible bonds. Most books discussing derivative products cover all details of pricing futures and options in minute detail. Convertible bonds and warrants are usually mentioned as an after thought in the latter chapters. This is the first book to address the very complex issue of pricing convertible bonds. Kevin Connolly, Researcher of complex volatility trading for Refco Overseas Ltd. and Lecturer at City University Business School and London Guildhall University, has put together an excellent treatment of pricing convertible bonds, delving into topics such as: * Returns distributions and associated descriptive statistics * Modeling the share price process * The basic convertible bond model * Introducing the complications * Convertible bond sensitivities * Using equity warrant models to price CBs * Refix clauses Fund managers, hedge players/traders, undergraduates and postgraduates will find this book invaluable. Easy to understand software on Microsoft Excel spreadsheets is also supplied.
Book Synopsis An Introduction to Stochastic Modeling by : Howard M. Taylor
Download or read book An Introduction to Stochastic Modeling written by Howard M. Taylor and published by Academic Press. This book was released on 2014-05-10 with total page 410 pages. Available in PDF, EPUB and Kindle. Book excerpt: An Introduction to Stochastic Modeling provides information pertinent to the standard concepts and methods of stochastic modeling. This book presents the rich diversity of applications of stochastic processes in the sciences. Organized into nine chapters, this book begins with an overview of diverse types of stochastic models, which predicts a set of possible outcomes weighed by their likelihoods or probabilities. This text then provides exercises in the applications of simple stochastic analysis to appropriate problems. Other chapters consider the study of general functions of independent, identically distributed, nonnegative random variables representing the successive intervals between renewals. This book discusses as well the numerous examples of Markov branching processes that arise naturally in various scientific disciplines. The final chapter deals with queueing models, which aid the design process by predicting system performance. This book is a valuable resource for students of engineering and management science. Engineers will also find this book useful.
Book Synopsis Credit Risk: Modeling, Valuation and Hedging by : Tomasz R. Bielecki
Download or read book Credit Risk: Modeling, Valuation and Hedging written by Tomasz R. Bielecki and published by Springer Science & Business Media. This book was released on 2013-03-14 with total page 517 pages. Available in PDF, EPUB and Kindle. Book excerpt: The motivation for the mathematical modeling studied in this text on developments in credit risk research is the bridging of the gap between mathematical theory of credit risk and the financial practice. Mathematical developments are covered thoroughly and give the structural and reduced-form approaches to credit risk modeling. Included is a detailed study of various arbitrage-free models of default term structures with several rating grades.
Book Synopsis Ruin Probabilities by : S?ren Asmussen
Download or read book Ruin Probabilities written by S?ren Asmussen and published by World Scientific. This book was released on 2010 with total page 621 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book gives a comprehensive treatment of the classical and modern ruin probability theory. Some of the topics are Lundberg's inequality, the Cramr?Lundberg approximation, exact solutions, other approximations (e.g., for heavy-tailed claim size distributions), finite horizon ruin probabilities, extensions of the classical compound Poisson model to allow for reserve-dependent premiums, Markov-modulation, periodicity, change of measure techniques, phase-type distributions as a computational vehicle and the connection to other applied probability areas, like queueing theory. In this substantially updated and extended second version, new topics include stochastic control, fluctuation theory for Levy processes, Gerber?Shiu functions and dependence.
Book Synopsis Applied Corporate Finance by : Aswath Damodaran
Download or read book Applied Corporate Finance written by Aswath Damodaran and published by John Wiley & Sons. This book was released on 2014-10-27 with total page 663 pages. Available in PDF, EPUB and Kindle. Book excerpt: Aswath Damodaran, distinguished author, Professor of Finance, and David Margolis, Teaching Fellow at the NYU Stern School of Business, has delivered the newest edition of Applied Corporate Finance. This readable text provides the practical advice students and practitioners need rather than a sole concentration on debate theory, assumptions, or models. Like no other text of its kind, Applied Corporate Finance, 4th Edition applies corporate finance to real companies. It now contains six real-world core companies to study and follow. Business decisions are classified for students into three groups: investment, financing, and dividend decisions.
