Effects of Positive Jumps of Assets on Endogenous Bankruptcy and Optimal Capital Structure: Continuous- and Periodic-Observation Models (Q5162845): Difference between revisions

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scientific article; zbMATH DE number 7421260

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English	Effects of Positive Jumps of Assets on Endogenous Bankruptcy and Optimal Capital Structure: Continuous- and Periodic-Observation Models	scientific article; zbMATH DE number 7421260

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instance of

scholarly article

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title

Effects of Positive Jumps of Assets on Endogenous Bankruptcy and Optimal Capital Structure: Continuous- and Periodic-Observation Models (English)

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author

Dante Mata López

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Kazutoshi Yamazaki

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José Luis Pérez Garmendia

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published in

SIAM Journal on Financial Mathematics

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publication date

5 November 2021

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full work available at URL

https://arxiv.org/abs/2008.10651

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zbMATH Keywords

credit risk

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endogenous bankruptcy

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optimal capital structure

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spectrally positive Lévy processes

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MaRDI profile type

MaRDI publication profile

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cites work

Randomized observation periods for the compound Poisson risk model: Dividends

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Randomized observation periods for the compound Poisson risk model: the discounted penalty function

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Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations

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Exit identities for Lévy processes observed at Poisson arrival times

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Russian and American put options under exponential phase-type Lévy models.

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On a periodic dividend barrier strategy in the dual model with continuous monitoring of solvency

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On optimal periodic dividend strategies in the dual model with diffusion

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CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK

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Term Structures of Credit Spreads with Incomplete Accounting Information

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Optimal stopping with random intervention times

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Phase-type Fitting of scale functions for spectrally negative Lévy processes

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Optimal capital structure and endogenous default

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Q5423895

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First passage times of a jump diffusion process

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Meromorphic Lévy processes and their fluctuation identities

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The Theory of Scale Functions for Spectrally Negative Lévy Processes

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Fluctuations of Lévy processes with applications. Introductory lectures

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Principles of smooth and continuous fit in the determination of endogenous bankruptcy levels

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Poissonian potential measures for Lévy risk models

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On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes

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On optimal periodic dividend strategies for Lévy risk processes

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The Leland-Toft optimal capital structure model under Poisson observations

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American options under periodic exercise opportunities

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Optimal Periodic Replenishment Policies for Spectrally Positive Lévy Demand Processes

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An Excursion-Theoretical Approach to Some Boundary Crossing Problems and the Skorokhod Embedding for Reflected Lévy Processes

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OPTIMAL CAPITAL STRUCTURE WITH SCALE EFFECTS UNDER SPECTRALLY NEGATIVE LÉVY MODELS

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Realized jumps on financial markets and predicting credit spreads

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Identifiers

zbMATH Open document ID

1473.91025

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DOI

10.1137/20M1362127

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5162845

@@ Property / arXiv ID @@
+.10651
@@ Property / arXiv ID: 2008.10651 / rank @@
+Normal rank
@@ Property / cites work @@
+Randomized observation periods for the compound Poisson risk model: Dividends
+Normal rank
@@ Property / cites work @@
+Randomized observation periods for the compound Poisson risk model: the discounted penalty function
+Normal rank
@@ Property / cites work @@
+Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations
+Normal rank
@@ Property / cites work @@
+Exit identities for Lévy processes observed at Poisson arrival times
+Normal rank
@@ Property / cites work @@
+Russian and American put options under exponential phase-type Lévy models.
+Normal rank
@@ Property / cites work @@
+On a periodic dividend barrier strategy in the dual model with continuous monitoring of solvency
+Normal rank
@@ Property / cites work @@
+On optimal periodic dividend strategies in the dual model with diffusion
+Normal rank
@@ Property / cites work @@
+CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK
+Normal rank
@@ Property / cites work @@
+Term Structures of Credit Spreads with Incomplete Accounting Information
+Normal rank
@@ Property / cites work @@
+Optimal stopping with random intervention times
@@ Property / cites work: Optimal stopping with random intervention times / rank @@
+Normal rank
@@ Property / cites work @@
+Phase-type Fitting of scale functions for spectrally negative Lévy processes
+Normal rank
@@ Property / cites work @@
+Optimal capital structure and endogenous default
@@ Property / cites work: Optimal capital structure and endogenous default / rank @@
+Normal rank
@@ Property / cites work @@
+Q5423895
@@ Property / cites work: Q5423895 / rank @@
+Normal rank
@@ Property / cites work @@
+First passage times of a jump diffusion process
@@ Property / cites work: First passage times of a jump diffusion process / rank @@
+Normal rank
@@ Property / cites work @@
+Meromorphic Lévy processes and their fluctuation identities
+Normal rank
@@ Property / cites work @@
+The Theory of Scale Functions for Spectrally Negative Lévy Processes
+Normal rank
@@ Property / cites work @@
+Fluctuations of Lévy processes with applications. Introductory lectures
+Normal rank
@@ Property / cites work @@
+Principles of smooth and continuous fit in the determination of endogenous bankruptcy levels
+Normal rank
@@ Property / cites work @@
+Poissonian potential measures for Lévy risk models
+Normal rank
@@ Property / cites work @@
+On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes
+Normal rank
@@ Property / cites work @@
+On optimal periodic dividend strategies for Lévy risk processes
+Normal rank
@@ Property / cites work @@
+The Leland-Toft optimal capital structure model under Poisson observations
+Normal rank
@@ Property / cites work @@
+American options under periodic exercise opportunities
+Normal rank
@@ Property / cites work @@
+Optimal Periodic Replenishment Policies for Spectrally Positive Lévy Demand Processes
+Normal rank
@@ Property / cites work @@
+An Excursion-Theoretical Approach to Some Boundary Crossing Problems and the Skorokhod Embedding for Reflected Lévy Processes
+Normal rank
@@ Property / cites work @@
+OPTIMAL CAPITAL STRUCTURE WITH SCALE EFFECTS UNDER SPECTRALLY NEGATIVE LÉVY MODELS
+Normal rank
@@ Property / cites work @@
+Realized jumps on financial markets and predicting credit spreads
+Normal rank