A structural framework for modelling contingent capital
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Cites work
- Applications of eigenfunction expansions in continuous-time finance
- COCO BONDS PRICING WITH CREDIT AND EQUITY CALIBRATED FIRST-PASSAGE FIRM VALUE MODELS
- Conic coconuts: the pricing of contingent capital notes using conic finance
- Dynamic capital structure and the contingent capital option
- scientific article; zbMATH DE number 1817636 (Why is no real title available?)
- scientific article; zbMATH DE number 3141417 (Why is no real title available?)
- scientific article; zbMATH DE number 3736679 (Why is no real title available?)
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- Numerical Inversion of Laplace Transforms of Probability Distributions
- The Laplace transform of hitting times of integrated geometric Brownian motion
- Valuation and analysis of zero-coupon contingent capital bonds
Cited in
(6)- Conic coconuts: the pricing of contingent capital notes using conic finance
- Valuation and analysis of zero-coupon contingent capital bonds
- Unbounded liabilities, capital reserve requirements and the taxpayer put option
- Market-triggered changes in capital structure: equilibrium price dynamics
- Dynamic capital structure and the contingent capital option
- Chinese write-down bonds and bank capital structure
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