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Volumn 11, Issue 12, 2011, Pages 1695-1702

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

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EID: 80054870157     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697680903473278     Document Type: Article
Times cited : (39)

References (15)
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    • 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.
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    • Alili, L.1    Patie, P.2    Pedersen, J.L.3
  • 3
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    • Modeling the exchange rates in a target zone by a reflected diffusion
    • 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
    • (2008) Working Paper
    • Bo, L.1    Ren, G.2    Wang, Y.3    Yang, X.4
  • 4
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    • On the first passage times of reflected O-U processes with two-sided barriers
    • 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.
    • (2006) Queueing Syst , vol.54 , pp. 313-316
    • Bo, L.1    Zhang, L.2    Wang, Y.3
  • 6
    • 0034986069 scopus 로고    scopus 로고
    • Term structures of credit spreads with incomplete accounting information
    • Duffie, D and Lando, D. 2000. Term structures of credit spreads with incomplete accounting information. Econometrica, 69: 633-664.
    • (2000) Econometrica , vol.69 , pp. 633-664
    • Duffie, D.1    Lando, D.2
  • 10
    • 22244442733 scopus 로고    scopus 로고
    • On the transition densities for reflected diffusions
    • Linetsky, V. 2005. On the transition densities for reflected diffusions. Adv. Appl. Probab., 37: 435-460.
    • (2005) Adv. Appl. Probab , vol.37 , pp. 435-460
    • Linetsky, V.1
  • 11
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    • Stochastic differential equations with reflecting boundary conditions
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    • Lions, P.1    Sznitman, A.2
  • 12
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    • On the pricing of corporate debt: The risk structure of interest rates
    • Merton, C. 1974. On the pricing of corporate debt: the risk structure of interest rates. J. Finance, 29: 449-470.
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    • Merton, C.1
  • 13
    • 2942719553 scopus 로고    scopus 로고
    • Comparison of sequence accelerators for the Gaver method of numerical Laplace transform inversion
    • 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.
    • (2004) Comput. Math. Appl , vol.48 , pp. 629-636
    • Valkó, P.1    Abate, J.2
  • 14
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    • Inversion of noise-free Laplace transforms: Towards a standardized set of test problems
    • 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.
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    • Valkó, P.1    Vajda, S.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.