A jump-diffusion model for pricing corporate debt securities in a complex capital structure

Quantitative Finance

Volumn 1, Issue 6, 2001, Pages 611-620

  Kijima, Masaaki ^a   Suzuki, Teruyoshi ^b  

^a KYOTO UNIVERSITY   (Japan)

^b NLI Research Institute   (Japan)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 85012561365     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1088/1469-7688/1/6/303     Document Type: Article

References (29)

1. Anderson R W and Sundaresan S 1996 Design and valuation of debt contracts Rev. Financ. Stud. 9 37–68
2. Ball C A and Torous W N 1983 A simplified jump process for common stock returns J. Financ. Quant. Anal. 18 53–65
3. Black F and Cox J 1976 Valuing corporate securities: some effects on bond indenture provisions J. Finance 31 351–67
4. Black F and Scholes M 1973 The pricing of options and corporate liabilities J. Political Economy 81 637–54
5. Briys E and de Varenne F 1997 Valuing risky fixed debt: an extension J. Financ. Quant. Anal. 32 239–48
6. Das S R 1995 Credit risk derivatives J. Derivatives Spring 7–23
7. Duffie D and Singleton K 1999 Modeling term structure of defaultable bonds Rev. Financ. Stud. 12 687–720
8. Fons J S 1994 Using default rates to model the term structure of credit risk Financ. Anal. J. Sept.–Oct. 25–32
9. Franks J R and Torous W N 1989 An empirical investigation of US firms in reorganization J. Finance 44 747–79
10. Geman H, El Karoui N and Rochet J C 1995 Changes of num´eraire changes of probability measure and option pricing J. Appl. Probab. 32 443–58
11. Jarrow R A, Lando D and Turnbull S M 1997 A Markov model for the term structure of credit risk spread Rev. Financ. Stud. 10 481–523
12. Jarrow R A and Madan D P 1995 Option pricing using the term structure of interest rates to hedge systematic discontinuities in asset returns Math. Finance 5 311–36
13. Jarrow R A and Madan D P 1999 Hedging contingent claims on semimartingales Finance Stochastics 3 111–34
14. Jarrow R A and Turnbull S M 1995 Pricing derivative on financial securities subject to credit risk J. Finance 50 53–86
15. Jarrow R A and Turnbull S M 2000 The intersection of market and credit risk J. Banking Finance 24 271–99
16. Kijima M 1999 Monotonicity and Convexity of Option Prices Revisited Working Paper Tokyo Metropolitan University
17. Kijima M 2000 Valuation of a credit swap of the basket type Rev. Derivatives Res. 4 79–95
18. Kijima M and Komoribayashi K 1998 A Markov chain model for valuing credit risk derivatives J. Derivative 6 Fall 97–108
19. Kijima M and Muromachi Y 2000 Credit events and the valuation of credit derivatives of basket type Rev. Derivatives Res. 4 53–77
20. Leland H 1994 Corporate debt value bond covenants and optimal capital structure J. Finance 49 1213–52
21. Longstaff F and Schwartz E 1995 A simple approach to valuing risky fixed and floating rate debt J. Finance 50 789–819
22. Madan D and Unal H 1998a Pricing the risks of default Rev. Derivatives Res. 2 121–60
23. Madan D and Unal H 1998b A Two-Factor Hazard-Rate Model for Pricing Risky Debt in a Complex Capital Structure Working Paper University of Maryland
24. Madan D and Unal H 2000 A two-factor hazard rate model for pricing risky debt and the term structure of credit spreads J. Financ. Quant. Anal. 35 43–65
25. Mella B P and Perraudin W R M 1997 Strategic debt service J. Finance 52 531–56
26. Merton R C 1974 On the pricing of corporate debt: the risk structure of interest rates J. Finance 29 449–70
27. Merton R C 1976 Option pricing when underlying stock returns are discontinuous J. Financ. Economics 3 125–44
28. Modigliani F and Miller M H 1958 The cost of capital corporation finance and the theory of investment Am. Economic Rev. 48 261–97
29. Zhou C 1997 A jump-diffusion approach to modeling credit risk and valuing defaultable securities Finance and Economic Discussion Series 1997-15 The Federal Reserve Board