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Euro periphery sovereign default swap pricing

Realdon, Marco - In: The IUP journal of financial risk management : IJFRM 9 (2012) 1, pp. 7-27

Persistent link: https://www.econbiz.de/10009569548

Discrete time affine term structure models with squared Gaussian shocks (DTATSM-SGS)

Realdon, Marco - In: Quantitative finance 21 (2021) 8, pp. 1365-1386

Persistent link: https://www.econbiz.de/10012608653

Valuation of the firm's liabilities when equity holders are also creditors

Realdon, Marco - In: Journal of business finance & accounting : JBFA 34 (2007) 5/6, pp. 950-975

Persistent link: https://www.econbiz.de/10003507243

Credit risk pricing with both expected and unexpected default

Realdon, Marco - In: Applied financial economics letters 3 (2007) 4/6, pp. 225-230

Persistent link: https://www.econbiz.de/10003604851

"Extended Black" term structure models

Realdon, Marco - In: International review of financial analysis 18 (2009) 5, pp. 232-238

This paper examines "Extended Black" term structure models (EBTSM), which are multi-factor extensions of the one factor Black (1995) model. EBTSM are not affected by the admissibility restrictions that plague canonical affine models. EBTSM encompass quadratic models, but unlike in quadratic...

Persistent link: https://www.econbiz.de/10003936529