1,527
Views
32
CrossRef citations to date
0
Altmetric
Feature

On the conditional default probability in a regulated market: a structural approach

, , &
Pages 1695-1702 | Received 08 Dec 2008, Accepted 03 Nov 2009, Published online: 11 May 2010

References

  • Alili , L , Patie , P and Pedersen , JL . 2005 . Representation of the first hitting time density of an Ornstein–Uhlenbeck process . Stochast. Models , 21 : 967 – 980 .
  • Bielecki , T and Rutkowski , M . 2002 . Credit Risk: Modeling, Valuation and Hedging , New York : Springer .
  • Bo , L , Ren , G , Wang , Y and Yang , X . 2008 . “ Modeling the exchange rates in a target zone by a reflected diffusion ” . In Working Paper
  • Bo , L , Zhang , L and Wang , Y . 2006 . On the first passage times of reflected O–U processes with two-sided barriers . Queueing Syst. , 54 : 313 – 316 .
  • Duffie , D , Filipović , D and Schachermayer , W . 2003 . Affine processes and applications in finance . Ann. Appl. Probab. , 13 : 984 – 1053 .
  • Duffie , D and Lando , D . 2000 . Term structures of credit spreads with incomplete accounting information . Econometrica , 69 : 633 – 664 .
  • Goldstein , R and Keirstead , W . 1997 . On the term structure of interest rates in the presence of reflecting and absorbing boundaries. Preprint
  • Harrison , M . 1986 . Brownian Motion and Stochastic Flow Systems , New York : Wiley .
  • Karatzas , I and Shreve , S . 1991 . Brownian Motion and Stochastic Calculus , New York : Springer .
  • Linetsky , V . 2005 . On the transition densities for reflected diffusions . Adv. Appl. Probab. , 37 : 435 – 460 .
  • Lions , P and Sznitman , A . 1984 . Stochastic differential equations with reflecting boundary conditions . Comm. Pure Appl. Math. , 37 : 511 – 537 .
  • Merton , C . 1974 . On the pricing of corporate debt: the risk structure of interest rates . J. Finance , 29 : 449 – 470 .
  • Valkó , P and Abate , J . 2004 . Comparison of sequence accelerators for the Gaver method of numerical Laplace transform inversion . Comput. Math. Appl. , 48 : 629 – 636 .
  • Valkó , P and Vajda , S . 2002 . Inversion of noise-free Laplace transforms: towards a standardized set of test problems . Inverse Prob. Engrg , 10 : 449 – 483 .
  • Zhou , C . 2000 . “ A jump-diffusion approach to modeling credit risk and valuing defaultable securities. Working Paper ” . Federal Reserve Board .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.