References
- Altman , E. I. and Kishore , V. 1996 . Almost everything you wanted to know about recoveries on defaulted bonds . Financial Analysts Journal , 52 ( 6 ) : 57 – 64 .
- Andersen , R. and Sundaresan , S. 1996 . Design and valuation of debt contracts . Review of Financial Studies , 9 : 37 – 68 .
- Andersen , R , Sundaresan , S. and Tychon , P. 1996 . Strategic analysis of contingent claims . European Economic Review , 40 : 871 – 881 .
- Björk , T. 1998 . Arbitrage Theory in Continuous Time , Oxford University Press .
- Black , F. and Cox , J. C. 1976 . Valuing corporate securities: Some effects of bond indenture conditions . The Journal of Finance , 31 : 351 – 368 .
- Black , F. and Scholes , M. 1973 . The pricing of options and corporate securities . Journal of Political Economy , 81 : 637 – 653 .
- Duan , J.-C. 1994 . Maximum likelihood estimation using price data of the derivative contract . Mathematical Finance , 4 : 155 – 167 .
- El Karoui , K , Geman , H and Rochet , J.-C. 1995 . Changes of numeraire, changes of probability measure and option pricing . Journal of Applied Probability , 32 : 443 – 458 .
- Ericsson , J. and Reneby , J. 1997 . Implementing firm value based pricing models , Stockholm School of Economics Finance . Working paper
- Ericsson , J. and Reneby , J. 1998 . On the tradeability of firms' assets Working Paper
- Fridson , M. S. , Carman , MC. and Wu , S. 1997 . Real interest rates and the default rate on Hgh-Yield bonds . The Journal of Fixed Income , 7 ( 2 ) : 29 – 34 .
- Fridson , M. S. and Kenney , J. F. 1994 . “ How do changes in yield affect quality spreads? ” . In Extra Credit , 4 – 13 . Merrill Lynch Capital Markets .
- Genz , A. 1992 . Numerical computation of multivariate normal probabilities . Journal of Computational and Graphical Statistics , 1 : 141 – 149 .
- Geske , R. 1977 . The valuation of corporate securities as compound options . Journal of Financial and Quantitative Analysis , 12 : 541 – 552 .
- Harrison , J. 1985 . Brownian Motion and Stochastic Flow Systems , John Wiley and Sons .
- Kim , I. , Ramaswamy , K. and Sundaresan , S. 1993 . Does default risk in coupons affect the valuation of corporate bonds?: A contingent claims model . Financial Management, Special Issue on Financial Distress ,
- Leland , H . 1994 . Risky debt, bond covenants and optimal capital structure . The Journal of Finance , 49 : 1213 – 1252 .
- Longstaff , F. A. and Schwanz , E. S. 1995 . A simple approach to valuing risky fixed and floating rate debt . The Journal of Finance , 5 : 789 – 819 .
- Mella-Barral , P. and Perraudin , W. 1997 . Strategic debt service . Journal of Finance , 52 : 531 – 556 .
- Merton , R. C. 1973 . The theory of rational option pricing . Bell Journal of Economics and Management Science , 4 : 141 – 183 .
- Merton , R. C. 1974 . On the pricing of corporate debt: The risk structure of interest rates . Journal of Finance , 29 : 449 – 479 .
- Merton , R. C. 1990 . Continuous-Time Finance , Oxford : Blackwell .
- Nielsen , L. T. , Saa-Requejo , J. and Santa-Clara , P. 1993 . Default risk and interest rate risk: The term structure of default spreads , INSEAD . Working paper
- Reilly , F. K. and Wright , D. J. 1994 . An analysis of High-Yield bond bench-marks . The Journal of Fixed Income , 3 ( 4 ) : 6 – 25 .
- Saá-Requejo , J. and Santa-Clara , P. 1997 . Bond pricing with default risk Working paper