Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy
By V. Acharya, Jennifer N. Carpenter. 2001
149 citations recorded by the source corpus.
Subfields: Finance
View Paper: https://www.semanticscholar.org/paper/5025b2ef8cd560944629a8da4c940facf746b8d2
How researchers see this paper
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In Finance
- Liuren Wu
- Peter P. Carr
- V. Todorov
- A. Mello
- Hayne E. Leland
- Karan Bhanot
- Jan Kallsen
- Yacine Aït-Sahalia
Citations in the corpus
- Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation (2010, background): “Prominent examples include Black and Cox (1976), Geske (1977), Ho and Singer (1982), Ronn and Verma (1986), Titman and Torous (1989) Kim, Ramaswamy, and Sundaresan (1993), Longstaff and Schwartz (1995), Leland (1994, 1998), Anderson and Sundaresan (1996), Anderson, Sundaresan, and Tychon (1996), Lel”
- Structural Models of Corporate Bond Pricing: An Empirical Analysis (2004, unknown): “See also Anderson, Sundaresan, and Tychon (1996), Huang (1997), Acharya et al. (1999), Fan and Sundaresan (2000), and Acharya and Carpenter (2002).”
- Should corporate debt include a rating trigger (2006, background): “…the ‘‘structural approach,’’ is applied in Geske (1977), Smith and Warner (1979), Hull and White (1992), Abken (1993), Das and Tufano (1996), Leland (1994), Leland and Toft (1996), Bryis and DeVarenne (1997), Zhou (2001), Acharya and Carpenter (2002), and Brockman and Turtle (2003), among others.”
- Predictions of Default Probabilities in Structural Models of Debt (2004, methodology): “Acharya and Carpenter [2002] introduce stochastic interest rates in an endogenous bankruptcy model.”
- A Simple Robust Link between American Puts and Credit Protection (2011, background): “1 Prominent examples include Black and Cox (1976), Geske (1977), Ho and Singer (1982), Ronn and Verma (1986), Titman and Torous (1989), Kim, Ramaswamy, and Sundaresan (1993), Longstaff and Schwartz (1995), Leland (1994, 1998), Anderson and Sundaresan (1996), Anderson, Sundaresan, and Tychon (1996), ”