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Applied Mathematical Finance Volume 15, 2008 - Issue 2
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PAPERS

A Structural Model with Unobserved Default BoundaryFootnote

Thorsten Schmidt University of Leipzig, Department of Mathematics, GermanyCorrespondence[email protected]
&
Alexander Novikov Department of Mathematical Sciences, University of Technology, Sydney
Pages 183-203 | Received 18 Apr 2006, Accepted 09 Aug 2007, Published online: 17 Mar 2008

Citations (15)

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Chao Xu, Yinghui Dong & Guojing Wang. (2019) The pricing of defaultable bonds under a regime-switching jump-diffusion model with stochastic default barrier. Communications in Statistics - Theory and Methods 48:9, pages 2185-2205.
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Arianna Agosto & Enrico Moretto. (2012) Exploiting default probabilities in a structural model with nonconstant barrier. Applied Financial Economics 22:8, pages 667-679.
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Gregor Dorfleitner, Paul Schneider & Tanja Veža. (2011) Flexing the default barrier. Quantitative Finance 11:12, pages 1729-1743.
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Articles from other publishers (12)

Frank Gehmlich & Thorsten Schmidt. (2018) DYNAMIC DEFAULTABLE TERM STRUCTURE MODELING BEYOND THE INTENSITY PARADIGM. Mathematical Finance 28:1, pages 211-239.
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Fabian Astic & Agnès Tourin. (2014) ON THE CREDIT RISK OF SECURED LOANS WITH MAXIMUM LOAN-TO-VALUE COVENANTS. International Journal of Theoretical and Applied Finance 17:08, pages 1450055.
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Donatien Hainaut & Griselda Deelstra. (2014) Default probabilities of a holding company, with complete and partial information. Journal of Computational and Applied Mathematics 271, pages 380-400.
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S. Jaimungal, A. Kreinin & A. Valov. (2014) The Generalized Shiryaev Problem and Skorokhod Embedding. Theory of Probability & Its Applications 58:3, pages 493-502.
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Sebastian Jaimungal, Sebastian Jaimungal, Alexander Kreinin, Alexander Kreinin, A Valov & A Valov. (2013) The generalized Shiryaev problem and Skorokhod embeddingThe generalized Shiryaev problem and Skorokhod embedding. Теория вероятностей и ее применения Teoriya Veroyatnostei i ee Primeneniya 58:3, pages 614-623.
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Yinghui Dong & Guojing Wang. (2012) The dependence of assets and default threshold with thinning-dependence structure. Journal of Industrial & Management Optimization 8:2, pages 391-410.
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Yi Zhou. (2011) Credit risk with incomplete information. Credit risk with incomplete information.
Tomasz R. Bielecki, Damiano Brigo & Fédéric PatrasRüdiger Frey & Thorsten Schmidt. 2011. Credit Risk Frontiers. Credit Risk Frontiers 185 218 .
Ruxing Xu & Shenghong Li. (2010) Belief updating, debt pricing and financial decisions under asymmetric information. Research in International Business and Finance 24:2, pages 123-137.
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Agnes Tourin & Fabian Astic. (2011) On the Credit Risk of Secured Loans. SSRN Electronic Journal.
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Gregor Dorfleitner, Paul Georg Schneider & Tanja Veza. (2008) Flexing the Default Barrier. SSRN Electronic Journal.
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Monique Jeanblanc & Yann Lecam. (2008) Reduced Form Modelling for Credit Risk. SSRN Electronic Journal.
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