Zhu, H. 2006, An Empirical Comparison of Credit Spreads between the BondMarket and the Credit Default Swap Market, Journal of Financial Servicesand Research, Vol.29, No.3, 211-235.
Zanger, D., 2009, Convergence of a Least-Squares Monte Carlo Algorithm forBounded Approximating Sets, Applied Mathematical Finance, Vol.16, No.2,123-150.
Zabolotnyuk, Y. and R. Jones, and C. Veld, 2010, An Empirical Comparison ofConvertible Bond Valuation Models, Financial Management, Vol.39, No.2,675-706.
Wu, T. and S. Chen, 2008, Valuation of Floating Range Notes in a LIBORMarket Model, Journal of Futures Markets, Vol.28, No.7, 697-710.
Vu, J.D., 1986, An Empirical Investigation of Calls of Non-Convertible Bonds,Journal of Financial Economics, Vol.16, No.2, 235-265.
Turnbull, S., 1995, Interest Rate Digital Options and Range Notes, Journal ofDerivatives, Vol.3, No.1, 92-101.
Tsiveriotis, K. and C. Fernandes, 1998, Valuing Convertible Bonds with CreditRisk, Journal of Fixed Income, Vol.8, No.2, 95-102.
Tsitsiklis, J. and B. van Roy, 2001, Regression Methods for Pricing ComplexAmerican-Style Options, IEEE Transactions on Neural Networks, Vol.12,No.4, 694-703.
Takahashi, M., T. Kobayashi, and N. Nakagawa, 2001, Pricing Convertible Bondswith Default Risk, Journal of Fixed Income, Vol.11, No.1, 20-29.
Sullivan, A.M., 2000, Valuing American Put Options Using Gaussian Quadrature,Review of Financial Studies, Vol.13, No.1, 75-94.
Stentoft, L., 2003, Assessing the Least Squares Monte-Carlo Approach toAmerican Option Valuation, Review of Derivatives Research, Vol.7, No.2,129-168.
Richards, W., R. Antoine, A. Sahai, and M. Acharya, 2010, An EfficientPolynomial Approximation to the Normal Distribution Function and ItsInverse Function, Journal of Mathematics Research, Vol.2. No.4, 47-51.
Nunes, J., 2004, Multifactor Valuation of Floating Range Notes, MathematicalFinance, Vol.14, No.1, 79-97.
Navatte, P. and F. Quittard-Pinon, 1999, The Valuation of Interest Rate DigitalOptions and Range Notes Revised, European Financial Market, Vol.5, No.3,425-440.
Moreno, M. and J. Navas, 2003, On the Robustness of Least-Squares MonteCarlo(LSM) for Pricing American Derivatives, Review of DerivativesResearch, Vol.6, No.3, 107-208.
Metz, A. and R. Cantor, 2007, Introducing Moody's Credit Transition Model:Summary, Moody's, special comment.
Merton, R.C., 1974, On the Pricing of Corporate Debt: The Risk Structure ofInterest Rates, Journal of Finance, Vol.29, No.2, 449-470.
Merton, R., 1973, Theory of Rational Option Pricing, Bell Journal of Economicsand Management Science, Vol.4, No.1, 141-183.
Markit, 2010, Markit Credit Default Swap Calculator User Guide.
Markit, 2009, Credit Derivatives Glossary.
Madan, D. and H. Unal, 1998, Pricing the Risks of Default, Review ofDerivatives Research, Vol.2, No.2-3, 121-160.
Longstaff, F., S. Mithal, and E. Neis, Corporate Yield Spreads: Default Risk orLiquidity? New Evidence from the Credit Default Swap Market, Journal ofFinance, Vol.60, No.5, 2213-2253.
Longstaff, F., S. Mithal, and E. Neis, 2005, Corporate Yield Spreads: DefaultRisk or Liquidity? New Evidence from the Credit Default Swap Market,Journal of Finance, Vol.60, No.5, 2213-2253.
Longstaff, F. and E. Schwartz, 2001, Valuing American Options by Simulation-ASimple Least Squares Approach, Review of Financial Studies, Vol.14, No.1,113-147.
Longstaff, F. and E. Schwartz, 1995, A Simple Approach to Valuing Risk Fixedand Floating Rate Debt, Journal of Finance, Vol.50, No.3, 789-819.
Lehman Brothers, 2007, Interest Rate Structured Notes: Primer, Part I, FixedIncome Research.
Lando, D. 1998, On Cox Processes and Credit Risky Securities, Review ofDerivatives Research, Vol.2, No.2-3, 99-120.
Kolb, R. and J. Overdahl, 2003, Financial Derivatives, 3rd Ed., John Wiley &sons, New Jersey.
King, T.D. and D.C. Mauer, 2000, Corporate Call Policy for NonconvertibleBonds, Journal of Business, Vol.73, No.3, 403-444.
Kalotay, A. and L. Abreao, 1999, Putable/Callable/Reset Bonds: IntermarketArbitrage with Unpleasant Side Effects, Journal of Derivatives, Summer,1-9.
Ju, N. and R. Zhong, 1999, An Approximate Formula for Pricing AmericanOptions, Journal of Derivatives, Vol.7, No.2, 31-40.
Jordan, B., S. Jordan, and D. Kuipers, 1998, The Mispricing of Callable USTreasury Bonds: A Closer Look, Journal of Futures Markets, Vol.18, No.1,35-51.
Jones, E.P., S.P. Mason, and E. Rosenfeld, 1984, Contingent Claims Analysis ofCorporate Capital Structures: an Empirical Investigation, Journal of Finance,Vol.39, No.3, 611?625.
Jarrow, R., 2013, The Zero-lower Bound on Interest Rates: Myth or Reality?,Finance Research Letters 10, 51-156.
Jarrow, R. and S. Turnbull, 1995, Pricing Derivatives on Financial SecuritiesSubject to Credit Risk, Journal of Finance, Vol.50, No.1, 53-85.
Jarrow, A., D. Lando, and S. Turnbull, 1997, A Markov Model for the TermStructure of Credit Risk Spreads, Journal of Risk, Vol.5, No.3, 481-523.
Jarrow, A. and S. Turnbull, 1992, Credit Risk: Drawing the Analogy, RiskMagazine, Vol.5, No.9, 53-85.
Jarrow, A. and P. Protter, 2004, Structural vs Reduced Form Models-A NewInformation Based Perspective, Journal of Investment Management, Vol.2,No.2, 1-10.
Jang, B.G. and J.H. Yoon, 2010, Analytic Valuation Formulas for Range Notesand an Affine Term Structure Model with Jump Risks, Journal of Bankingand Finance, Vol.34, No.9, 2132-2145.
Hull, J., M. Predescu, and A. White, 2004, The Relationship between CreditDefault Swap Spreads, Bond Yields, and Credit Rating Announcements,Journal of Banking and Finance, Vol.28, No.11, 2789-2811.
Hull, J., 2005, Options, Futures, and Other Derivative Securities, 6th Ed.,Prentice-Hall, New Jersey.
Hull, J. and A. White, 2012, Ratings Arbitrage and Structured Products, Journalof Derivatives, 20th Anniversary, 80-86.
Hull, J. and A. White, 1993, One-Factor Interest Rate Models and the Valuationof Interest Rate Derivative Securities, Journal of Financial and QuantitativeAnalysis, Vol.28, No.2, 235-254.
Hull, J. and A. White, 1990, Pricing Interest-rate Derivative Securities, Reviewof Financial Studies, Vol.3, No.4, 573-592.
Huge, B. and N. Rom-Roulsen, 2007, An Algorithm for Simulating BermudanOption Prices on Simulated Asset Prices, Journal of Derivatives, Vol.14,No.4, 64-85.
Houweling, P., J. Hoek, and F. Kleibergen, 2001, The Joint Estimation of TermStructures and Credit Spreads, Journal of Empirical Finance, Vol.8, No.3,297-323.
Houweling, P., A. Mentink, and T. Vorst, 2005, Comparing Possible Proxies ofCorporate Bond Liquidity, Journal of Banking and Finance, Vol.29, No.6,1331-1358.
Ho, T.S. and S.B. Lee, 2009b, Valuation of Credit Contingent Claims: AnArbitrage-Free Credit Model, Journal of Investment Management, Vol.7,No.3, 1-17.
Ho, T.S. and S.B. Lee, 2009a, Unified Credit and Interest Rate Arbitrage-FreeContingent Claim Model, Journal of Fixed Income, Vol.18, No.3, 5-17.
Ho, T.S. and S.B. Lee, 2007, Generalized Ho-Lee Model: A Multi-FactorState-Time Dependent Implied Volatility Function Approach, Journal ofFixed Income, Vol.17, No.3, 18-37.
Ho, T.S. and S.B. Lee, 2004, The Oxford Guide to Financial Modelling:Applications for Capital Markets, Corporate Finance, Risk Management, andFinancial Institutions, Oxford University Press, New York.
Heider, P., 2012, An Implied Volatility Model Determined by Credit DefaultSwaps, International Journal of Theoretical and Applied Finance, Vol.15,No.7, 1-21.
Gupton, G., C. Finger, and M. Bhatia, 1997, CreditMetrixTM-Technical Document,J.P. Morgan, Risk Management Research.
Granger, C. and P. Newbold, 1974, Spurious Regressions in Econometrics,Journal of Economics, Vol.2, No.2, 111-120.
Glasserman, P., 2004, Monte Carlo Methods in Financial Engineering, Springer,New York.
Glasserman, P. and B. Yu, 2004, Number of Paths versus Number of BasisFunctions in American Option Pricing, The Annals of Applied Probability,Vol.14, No.4, 2090-2119.
Girsavnov, I.V., 1960, On Transforming a Certain Class of Stochastic Processesby Absolutely Continuous Substitution of Measures, Theory of Probabilityand Its Applications, Vol.5, No.3, 285-301.
Geske, R. and H. Johnson, 1984, The American Put Option Valued Analytically,Journal of Finance, Vol.39, No.5, 1511-1524.
Geman, H., N. El Karoui, and J. Rochet, 1995, Changes of Numeraire, Changesof Probability Measure and Option Pricing, Journal of Applied Probability,Vol.32, No.2, 443-458.
Galil, K., O. Shapir, D. Amiram, and U. Ben-Zion, 2014, The Determinants ofCDS Spreads, Journal of Banking and Finance, Vol.41, 271-282.
Fu, M., S. Laprise, D. Madan, Y. Su, and R. Wu, 2001, Pricing AmericanOptions: A Comparison of Monte Carlo Simulation Approaches, Journal ofComputational Finance, Vol.4, No.3, 39-88.
Ericsson, J., K. Jacobs, and R. Oviedo, 2009, The Determinants of CreditDefault Swap Premia, Journal of Financial and Quantitative Analysis, Vol.44,No.1, 109-132.
Duffie, D., L. Saita, and K. Wang, 2007, Multi-Period Corporate DefaultPrediction with Stochastic Covariates, Journal of Financial Economics,Vol.83, No.3, 635-665.
Duffie, D. and K. Singleton, 1999, Modeling Term Structures of DefaultableBonds, Review of Financial Studies, Vol.12, No.4, 197-226.
Doshi, H., J. Ericsson, K. Jacobs, and S., Turnbull, 2013, Pricing Credit DefaultSwaps with Observable Covariates, Review of Financial Studies, Vol.26,No.8, 2048-2094.
Culp, C., 2009, Contingent Capital vs. Contingent Reverse Convertibles forBanks and Insurance Companies, Journal of Applied Corporate Finance,Vol.21, No.4, 17-27.
Cremers, K.M., J. Driessen, and P. Maenhout, 2008, Explaining the Level ofCredit Spreads: Option-Implied Jump risk Premia in a Firm Value Model,Review of Financial Studies, Vol.21, No.5, 2209-2242.
Coudert, V. and M. Gex, 2010, CDS and Bond Markets-Which leads the other,Banque de France, Financial Stability Directorate.
Collin-Dufresne, P., R. Goldstein, and J. S. Martin, 2001, The Determinants ofCredit Spread Changes, Journal of Finance, Vol.56, No.6, 2177-2208.
Collin-Dufresne, P. and R. Goldstein, 2001, Do Credit Spreads ReflectStationary Leverage Ratios, Journal of Finance, Vol.60, No5, 1929-1957.
Clement, E., D. Lamberton, and P. Protter, 2002, An Analysis of a LeastSquares Regression Methods for American Option Pricing, FinancialStochastics, Vol.6, No.4, 449-471.
Chung, S.L. and M.B. Shackleton, 2005, On the Use and Improvement of Hulland White’s Control Variate Technique, Applied Financial Economics,Vol.15, No.16, 1171-1179.
Chu, C. and Y.K. Kwok, 2003, No-Arbitrage Approach to Pricing Credit SpreadDerivatives, Journal of Derivatives, Vol.10, No.3, 51-64.
Chalamandaris, G., 2007, Pricing Multi-callable Range Accruals with the LiborMarket Model, Managerial Finance, Vol.33, No.5, 292-38.
Cao, C., F. Yu, and Z. Zhong, 2010, The Information Content of Option-ImpliedVolatility for Credit Default Swap Valuation, Journal of Financial Markets,Vol.13, No.3, 321-343.
Calomiris, C. and R. Herring, 2013, How to Design a Contingent ConvertibleDebt Requirement That Helps Solve Our Too-Big-to-Fail Problem, Journalof Applied Corporate Finance, Vol.25, No.2, 39-62.
Brigo, D. and F. Mercurio, 2006, Interest Rate Models: Theory and Practicewith Smile, Inflation, and Credit, 2nd Ed., Springer, NY.
Brennan, M.J. and E.S. Schwartz, 1980, Analyzing Convertible Bonds, Journal ofFinancial and Quantitative Analysis, Vol.15, No.4, 907-929.
Brennan, M.J. and E.S. Schwartz, 1977, Convertible Bonds: Valuation andOptimal Strategies for Call and Conversion, Journal of Finance, Vol.32, No.5,1699-1715.
Boyle, P., 1997, Options: A Monte Carlo Approach, Journal of FinancialEconomics, Vol.4, No.3, 323-338.
Blanco, R. S. Brennan, and I. Marsh, 2005, An Empirical Analysis of theDynamic Relation between Investment-Grade Bonds and Credit DefaultSwaps, Journal of Finance, Vol.60, No.5, 2255-2281.
Black, F., 1976, The Pricing of Commodity Contracts, Journal of FinancialEconomics, Vol.3, No.1-2, 167-179.
Black, F. and M. Scholes, 1973, The Pricing of Options and CorporateLiabilities, Journal of Political Economy, Vol.81, No.3, 637-654.
Bielecki, T. and M. Rutkowski, 2002, Credit Risk: Modeling, Valuation andHedging, Springer-Verlag, New York.
Basel Committee on Banking Supervision, 2013, Regulatory ConsistencyAssessment Programme(RCAP) - Analysis of risk-weighted assets forcredit risk in the banking book, July, BIS.
Basel Committee on Banking Supervision, 2011, Basel Ⅲ : A global regulatoryframework for more resilient banks and banking systems, June, BIS.
Back, K., 2005, A Course in Derivative Securities: Introduction to Theory andComputation, Springer, New York.
Avdjiev, S., A. Kartasheva, and B. Bogdanova, 2013, CoCos: a primer, QuarterlyReview, BIS.
Areal, N., A. Rodrigues, and M. Armada, 2008, On Improving the Least SquaresMonte Carlo Option Valuation Method, Review of Derivatives Research,Vol.11, No.1, 119-151.
Amato, J. and E. Remonola, 2003, The Credit Spread Puzzle, BIS.
Alos, E., 2006, A Generalization of the Hull and White Formula withApplications to Option Pricing Approximation, Finance and Stochastics,Vol.10, No.3, 353-365.
(Translated in English) Liu, W., and Young-Min Choi, 2013, Complexity,Knowledge Asymmetry, and Monopolistic Competition: The Case of RetailStructured Product Market, Korean Journal of Futures and Options, Vol.21,No.4, 353-381.
'
부도위험채권의 가격결정에 관한 연구 = Essays on Pricing Defaultable Bonds'
의 유사주제(
) 논문