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題名:A Note on the Feynman-Kac Formula and the Pricing of Defaultable Bonds
書刊名:財金論文叢刊
作者:劉任昌 引用關係楊朝成
作者(外文):Liu, Jen-ChangYang, Chau-Chen
出版日期:2007
卷期:6
頁次:頁48-64
主題關鍵詞:Default riskFeynman-Kac formulaForward martingale measureReduced-form modelStructural model
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:0
  • 點閱點閱:31
期刊論文
1.Cathcart, Lara、El-Jahel, Lina(1998)。Valuation of defaultable bonds。The Journal of Fixed Income,8(1),65-78。  new window
2.Kim, J.、Ramaswamy, K.、Sundaresan, S.(1993)。Does Default Risk in Coupons Affect the Valuation of Corporate Bonds-A Contingent Claims Model。Financial Management,22(3),117-131。  new window
3.Harrison, J. Michael、Kreps, David M.(1979)。Martingale and Arbitrage in Multiperiod Securities Markets。Journal of Economic Theory,20(3),381-408。  new window
4.Jarrow, Robert A.、Lando, David、Turnbull, Stuart M.(1997)。A Markov Model for the Term Structure of Credit Spreads。Review of Financial Studies,10(2),481-523。  new window
5.Zhou, Chun-Sheng(2001)。The Term Structure of Credit Spreads with Jump Risk。Journal of Banking and Finance,25(11),2015-2040。  new window
6.Jones, E. Philip、Mason, Scott P.、Rosenfeld, Eric(1984)。Contingent claim analysis of corporate capital structures: An empirical investigation。Journal of Finance,39(3),611-625。  new window
7.Pye, Gordon(1974)。Gauging the Default Premium。Financial Analysts Journal,30(1),49-52。  new window
8.Schobel, Rainer(1999)。A note on the valuation of risky corporate bonds。OR Spektrum,21(1/2),35-47。  new window
9.Duffee, Gregory R.(1998)。The Relation between Treasury Yields and Corporate Bond Yield Spreads。Journal of Finance,53(6),2225-2241。  new window
10.Black, F.、Cox, J. C.(1976)。Valuing Corporate Securities: Some Effects of Bond Indenture Provisions。The Journal of Finance,31(2),351-367。  new window
11.Duffie, D.、Singleton, K.(1999)。Modeling term structures of defaultable bonds。Review of Financial Studies,12(4),687-720。  new window
12.Longstaff, Francis A.、Schwartz, Eduardo S.(1995)。A Simple Approach to Valuing Risky Fixed and Floating Rate Debt。Journal of Finance,50(3),789-819。  new window
13.Jarrow, Robert A.、Turnbull, Stuart M.(1995)。Pricing Derivatives on Financial Securities Subject to Credit Risk。Journal of Finance,50(1),53-85。  new window
14.Merton, Robert C.(1974)。On the Pricing of Corporate Debt: The Risk Structure of Interest Rates。The Journal of Finance,29(2),449-470。  new window
15.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
16.Leland, Hayne E.、Toft, Klaus Bjerre(1996)。Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads。Journal of Finance,51(3),987-1019。  new window
17.Cox, John C.、Ross, Stephen A.(1976)。The Valuation of Options for Alternative Stochastic Processes。Journal of Financial Economics,3(1/2),145-166。  new window
圖書
1.Klebaner, Fima C.(1998)。Introduction to Stochastic Calculus with Applications。London:Imperial College Press, Inc.。  new window
2.Shreve, Steven E.(2004)。Stochastic Calculus for Finance II: Continuous-Time Models。New York:Springer Verlag。  new window
3.Musiela, M.、Rutkowski, M.(2005)。Martingale Methods in Financial Modeling。Martingale Methods in Financial Modeling。New York, NY:Springer。  new window
4.Rutkowski, M.、Bielecki, T. R.(2002)。Credit Risk: Modeling, Valuation and Hedging。Credit Risk: Modeling, Valuation and Hedging。Berlin:Springer Finance。  new window
 
 
 
 
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