1. Corporate bonds: fixed versus stochastic coupons—an empirical study. (2024). Karim, Muhammad Mahmudul ; Baaquie, Belal Ehsan.
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2. The Regime-Switching Structural Default Risk Model. (2024). Chisholm, Kevin ; Milidonis, Andreas.
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3. Pricing risky corporate bonds: An empirical study. (2023). Karim, Muhammad Mahmudul ; Baaquie, Belal Ehsan.
   In: Journal of Futures Markets.
   RePEc:wly:jfutmk:v:43:y:2023:i:1:p:90-121.

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4. CREDIT RISK ASSESSMENT USING DEFAULT MODELS: A REVIEW. (2023). Jumbe, George.
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5. Contingent capital conversion under dual asset and equity jump–diffusions. (2023). Li, Weiping ; Javadi, Siamak ; Nejadmalayeri, Ali.
   In: International Review of Financial Analysis.
   RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003149.

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6. Macroeconomic conditions, corporate default, and default clustering. (2023). Liu, Lanlan ; Xing, Kai ; Luo, Dan.
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   RePEc:eee:ecmode:v:118:y:2023:i:c:s0264999322003169.

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7. Analyzing interactive call, default, and conversion policies for corporate bonds. (2022). Dai, Tianshyr ; Liu, Liangchih ; Zhou, Lei ; Chang, Haohan.
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   RePEc:wly:jfutmk:v:42:y:2022:i:8:p:1597-1638.

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8. Estimating yield spreads volatility using GARCH-type models. (2021). Kim, Jong-Min ; Jung, Hojin.
   In: The North American Journal of Economics and Finance.
   RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000310.

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9. Structural recovery of face value at default. (2020). Guha, Rajiv ; Tarelli, Andrea ; Sbuelz, Alessandro.
   In: European Journal of Operational Research.
   RePEc:eee:ejores:v:283:y:2020:i:3:p:1148-1171.

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10. Modeling non-normal corporate bond yield spreads by copula. (2020). Kim, Jong-Min ; Jung, Hojin.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820301078.

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11. Is there an optimally diversified conglomerate? Gleaning answers from capital markets. (2017). Nejadmalayeri, Ali ; Iyer, Subramanian Rama ; Singh, Manohar.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:49:y:2017:i:1:d:10.1007_s11156-016-0585-x.

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12. Cash flow volatility and corporate bond yield spreads. (2016). Vetzal, Kenneth R ; Huang, Alan G.
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    RePEc:kap:rqfnac:v:46:y:2016:i:2:d:10.1007_s11156-014-0474-0.

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13. Evaluating corporate bonds and analyzing claim holders’ decisions with complex debt structure. (2016). Dai, Tian-Shyr ; Liu, Liang-Chih ; Wang, Chuan-Ju.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:72:y:2016:i:c:p:151-174.

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14. Using Merton model for default prediction: An empirical assessment of selected alternatives. (2016). Galil, Koresh ; Afik, Zvika ; Arad, Ohad .
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    RePEc:eee:empfin:v:35:y:2016:i:c:p:43-67.

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15. Prepayment risk on callable bonds: theory and test. (2015). Pardo, Sophie ; Franois, Pascal.
    In: Decisions in Economics and Finance.
    RePEc:spr:decfin:v:38:y:2015:i:2:p:147-176.

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16. Understanding the term structure of credit default swap spreads. (2015). han, bing ; Zhou, YI.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:31:y:2015:i:c:p:18-35.

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17. Using Merton model: an empirical assessment of alternatives. (2015). Galil, Koresh ; Afik, Zvika ; Arad, Ohad .
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    RePEc:bgu:wpaper:1503.

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18. Sovereign risk and its changing effects on bond duration during financial crisis. (2014). Xie, Yan Alice ; Yau, Jot ; Lee, Heiwai.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:24:y:2014:i:22:p:1465-1477.

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19. On the Fundamental Relation Between Equity Returns and Interest Rates. (2014). Choi, Jaewon ; Whitelaw, Robert F. ; Richardson, Matthew P..
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    RePEc:nbr:nberwo:20187.

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20. The effect of interest rate volatility and equity volatility on corporate bond yield spreads: A comparison of noncallables and callables. (2014). Stock, Duane ; Kim, Dong H..
    In: Journal of Corporate Finance.
    RePEc:eee:corfin:v:26:y:2014:i:c:p:20-35.

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21. Komponenten und Determinanten des Credit Spreads: Empirische Untersuchung während Phasen von Marktstress. (2013). Cremers, Heinz ; Odermann, Alexander .
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22. Adjusted Moneys Worth Ratios in Life Annuities. (2013). Walker, Eduardo ; Casassus, Jaime.
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23. How do bond investors perceive dividend payouts?. (2013). Nejadmalayeri, Ali ; Jiraporn, Pornsit ; Singh, Manohar ; Mathur, Ike.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:27:y:2013:i:1:p:92-105.

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24. Sarbanes-Oxley Act and corporate credit spreads. (2013). Rao, Ramesh ; Nejadmalayeri, Ali ; Nishikawa, Takeshi.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:8:p:2991-3006.

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25. The issuance of callable bonds under information asymmetry. (2013). Choi, Seungmook ; Jung, Mookwon ; Jameson, Mel.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:21:y:2013:i:c:p:1-14.

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26. Product market advertising and corporate bonds. (2013). Nejadmalayeri, Ali ; Singh, Manohar ; Mathur, Ike.
    In: Journal of Corporate Finance.
    RePEc:eee:corfin:v:19:y:2013:i:c:p:78-94.

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27. Pricing American interest rate options under the jump-extended constant-elasticity-of-variance short rate models. (2012). Nawalkha, Sanjay ; Beliaeva, Natalia.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:1:p:151-163.

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28. On the determinants of the implied default barrier. (2012). Dionne, Georges ; Laajimi, Sadok.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:19:y:2012:i:3:p:395-408.

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29. Impact of the TARP financing choice on existing preferred stock. (2012). Stock, Duane ; Kim, Dong H..
    In: Journal of Corporate Finance.
    RePEc:eee:corfin:v:18:y:2012:i:5:p:1121-1142.

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30. Using Merton model: an empirical assessment of alternatives. (2012). Galil, Koresh ; Afik, Zvika ; Arad, Ohad .
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    RePEc:bgu:wpaper:1202.

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31. A comprehensive structural model for defaultable fixed-income bonds. (2011). Agliardi, Rossella.
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32. On the determinants of the implied default barrier. (2011). Dionne, Georges ; Laajimi, Sadok.
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33. American options and callable bonds under stochastic interest rates and endogenous bankruptcy. (2011). Nunes, Joo.
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34. The impact of sovereign risk on bond duration: Evidence from Asian sovereign bond markets. (2011). Xie, Yan Alice ; Yau, Jot ; Lee, Heiwai.
    In: International Review of Economics & Finance.
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35. Anatomy of a ratings change. (2011). Marble, Hugh .
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36. Hysteresis effects under CIR interest rates. (2011). Shackleton, Mark ; Dias, Jose Carlos.
    In: European Journal of Operational Research.
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37. Convertible Bonds: Risks and Optimal Strategies. (2010). Huang, Haishi.
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38. Predicting credit spreads. (2010). Thomson, James ; Ritchken, Peter H. ; Krishnan, C. N. V., .
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39. Reduced-form valuation of callable corporate bonds: Theory and evidence. (2010). LI, HAITAO ; Jarrow, Robert ; Liu, Sheen ; Wu, Chunchi.
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40. A simple model of deferred callability in defaultable debt. (2010). Persson, Svein-Arne ; Mjos, Aksel.
    In: European Journal of Operational Research.
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41. Callable risky perpetual debt with protection period. (2010). Persson, Svein-Arne ; Mjos, Aksel.
    In: European Journal of Operational Research.
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42. Underinvestment, capital structure and strategic debt restructuring. (2010). Pawlina, Grzegorz.
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    RePEc:eee:corfin:v:16:y:2010:i:5:p:679-702.

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43. Mortgage timing. (2009). Van Nieuwerburgh, Stijn ; koijen, ralph ; van Hemert, Otto ; Koijen, Ralph S. J., .
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44. The effects of default and call risk on bond duration. (2009). Xie, Yan Alice ; Liu, Sheen ; Wu, Chunchi ; Anderson, Bing.
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45. Systematic equity-based credit risk: A CEV model with jump to default. (2009). Polbennikov, Simon ; Campi, Luciano ; Sbuelz, Alessandro.
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46. Specification analysis of structural credit risk models. (2008). Zhou, Hao ; Huang, Jingzhi.
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47. Make-whole call provisions: A case of much ado about nothing?. (2008). Nayar, Nandkumar ; Stock, Duane.
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48. What Is the Cost of Financial Flexibility? Theory and Evidence for Make‐Whole Call Provisions. (2008). Tsyplakov, Sergey ; Powers, Eric.
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49. An empirical study of corporate bond pricing with unobserved capital structure dynamics.. (2007). Maclachlan, Iain C.
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50. Mortgage Timing. (2007). Van Nieuwerburgh, Stijn ; koijen, ralph ; Ralph S. J Koijen, ; van Hemert, Otto .
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51. On forecasting the term structure of credit spreads. (2007). Thomson, James ; Ritchken, Peter H. ; C. N. V. Krishnan, .
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52. Bond durations: Corporates vs. Treasuries. (2007). Munk, Claus ; Kraft, Holger.
    In: Journal of Banking & Finance.
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53. The Derivatives Sourcebook. (2006). Scholes, Myron ; merton, robert ; Lo, Andrew ; Lim, Terence .
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54. Credit Risk Models II: Structural Models. (2006). Elizalde, Abel.
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55. Assessing Credit with Equity: A CEV Model with Jump to Default. (2005). Polbennikov, Simon ; Campi, Luciano.
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56. Credit risk modeling with affine processes. (2005). Duffie, Darrell.
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57. Incorporating Systemic Influences Into Risk Measurements: A Survey of the Literature. (2004). Allen, Linda ; Saunders, Anthony.
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58. Firm and Corporate Bond Valuation: A Simulation Dynamic Programming Approach. (2004). Castillo, Augusto.
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59. Effective duration of callable corporate bonds: Theory and evidence. (2004). Sarkar, Sudipto ; Hong, Gwangheon.
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60. Structural RFV : Recovery Form and Defaultable Debt Analysis. (2003). Guha, R ; Sbuelz, A.
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61. Structural RFV : Recovery Form and Defaultable Debt Analysis. (2003). Guha, R. ; Sbuelz, A..
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1. Corporate liquidity and dividend policy under uncertainty. (2017). Martzoukos, Spiros H ; Koussis, Nicos ; Trigeorgis, Lenos.
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2. Corporate liquidity and dividend policy under uncertainty. (2017). Martzoukos, Spiros H ; Koussis, Nicos ; Trigeorgis, Lenos.
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3. Hedging Futures Options with Stochastic Interest Rates. (2016). Schlogl, Erik ; Nikitopoulos-Sklibosios, Christina ; Cheng, Benjamin.
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4. Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter?. (2016). Schlogl, Erik ; Nikitopoulos-Sklibosios, Christina ; Cheng, Benjamin.
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5. Alternative methods to derive option pricing models: review and comparison. (2016). Lee, Cheng Few ; Chen, Yibing.
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6. Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates. (2015). Schlogl, Erik ; Nikitopoulos-Sklibosios, Christina ; Cheng, Benjamin.
   In: Research Paper Series.
   RePEc:uts:rpaper:366.

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7. Pricing inflation-linked variable annuities under stochastic interest rates. (2013). Tiong, Serena.
   In: Insurance: Mathematics and Economics.
   RePEc:eee:insuma:v:52:y:2013:i:1:p:77-86.

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8. One numerical procedure for two risk factors modeling. (2011). Cocozza, Rosa ; de Simone, Antonio.
   In: MPRA Paper.
   RePEc:pra:mprapa:30859.

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9. Quantile hedging for equity-linked life insurance contracts in a stochastic interest rate economy. (2011). He, Ting ; Gao, Quansheng ; Zhang, Chi.
   In: Economic Modelling.
   RePEc:eee:ecmode:v:28:y:2011:i:1:p:147-156.

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10. Quantile hedging for equity-linked life insurance contracts in a stochastic interest rate economy. (2011). He, Ting ; Gao, Quansheng ; Zhang, Chi.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:28:y:2011:i:1-2:p:147-156.

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11. Midquotes or Transactional Data? The Comparison of Black Model on HF Data. (2010). Sakowski, Pawel ; Ślepaczuk, Robert ; Kokoszczyński, Ryszard ; Kokoszczyski, Ryszard.
    In: Working Papers.
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12. American option pricing under stochastic volatility: an empirical evaluation. (2010). Guha, Suchandan ; Goswami, Manisha ; Aitsahlia, Farid.
    In: Computational Management Science.
    RePEc:spr:comgts:v:7:y:2010:i:2:p:189-206.

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13. International money and stock market contingent claims. (2010). Monfort, Alain ; gourieroux, christian ; Sufana, R..
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:29:y:2010:i:8:p:1727-1751.

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14. Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility. (2009). Pelsser, Antoon ; Lord, Roger ; Schrager, David ; van Haastrecht, Alexander.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:45:y:2009:i:3:p:436-448.

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15. Calibration and Pricing in a Multi-Factor Quadratic Gaussian Model. (2007). Assefa, Samson ; Bruti-Liberati, Nicola ; Platen, Eckhard ; Nikitopoulos-Sklibosios, Christina.
    In: Research Paper Series.
    RePEc:uts:rpaper:197.

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16. Pricing Swaptions and Credit Default Swaptions in the Quadratic Gaussian Factor Model. (2007). Assefa, Samson.
    In: PhD Thesis.
    RePEc:uts:finphd:31.

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17. Tax liens: a novel application of asset pricing theory. (2007). Jarrow, Robert ; Tyagi, Vikrant.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:10:y:2007:i:2:p:181-204.

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18. Is cash negative debt? A hedging perspective on corporate financial policies. (2007). Acharya, Viral ; Campello, Murillo ; Almeida, Heitor.
    In: Journal of Financial Intermediation.
    RePEc:eee:jfinin:v:16:y:2007:i:4:p:515-554.

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19. What is the correct meaning of implied volatility?. (2007). Hyun, Jung-Soon ; Kim, In Joon ; Park, Gun Youb.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:4:y:2007:i:3:p:179-185.

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20. Credit Risk Models II: Structural Models. (2006). Elizalde, Abel.
    In: Working Papers.
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21. Is Cash Negative Debt? A Hedging Perspective on Corporate Financial Policies. (2005). Campello, Murillo ; Acharya, Viral ; Almeida, Heitor.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11391.

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22. On the Consistency of the Lucas Pricing Formula. (2005). Aase, Knut.
    In: Discussion Papers.
    RePEc:hhs:nhhfms:2005_009.

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23. Modeling time series information into option prices: An empirical evaluation of statistical projection and GARCH option pricing model. (2005). Leung, Mark T. ; Chen, An-Sing.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:29:y:2005:i:12:p:2947-2969.

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24. Pricing counterparty default risks: Applications to FRNs and vulnerable options. (2005). Kang, Jangkoo ; Kim, Hwa-Sung.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:14:y:2005:i:3:p:376-392.

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25. Is Cash Negative Debt? A Hedging Perspective on Corporate Financial Policies. (2005). Acharya, Viral ; Campello, Murillo ; Almeida, Heitor.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:4886.

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26. On the Consistency of the Lucas Pricing Formula. (2005). Aase, Knut.
    In: University of California at Los Angeles, Anderson Graduate School of Management.
    RePEc:cdl:anderf:qt6gk6b0xw.

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27. Firm and Corporate Bond Valuation: A Simulation Dynamic Programming Approach. (2004). Castillo, Augusto.
    In: Latin American Journal of Economics-formerly Cuadernos de Economía.
    RePEc:ioe:cuadec:v:41:y:2004:i:124:p:345-360.

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28. Optimal consumption and investment strategies with stochastic interest rates. (2004). Munk, Claus ; Sorensen, Carsten.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:28:y:2004:i:8:p:1987-2013.

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29. The Econometrics of Option Pricing. (2004). Renault, Eric ; Ghysels, Eric ; Garcia, René.
    In: CIRANO Working Papers.
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30. Pricing of multi-period rate of return guarantees. (2003). Lindset, Snorre.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:33:y:2003:i:3:p:629-644.

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31. Empirical assessment of an intertemporal option pricing model with latent variables. (2003). Renault, Eric ; Luger, Richard ; Garcia, René.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:116:y:2003:i:1-2:p:49-83.

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32. The Valuation of Corporate Liabilities: Theory and Tests. (2002). Ericsson, Jan ; Reneby, Joel.
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0445.

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33. Do Swedes smile? On implied volatility functions. (2002). Engstrom, Malin .
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:12:y:2002:i:4-5:p:285-304.

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34. Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy. (2002). Carpenter, Jennifer ; Acharya, Viral.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3328.

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35. Effects of Stochastic Interest Rates and Volatility on Contingent Claims (Revised Version). (2001). Kim, Yong-Jin ; Kunitomo, Naoto.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2001cf129.

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36. Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables. (2001). Renault, Eric ; Luger, Richard ; Garcia, René.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2001-10.

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37. Asymmetric Smiles, Leverage Effects and Structural Parameters.. (2001). Renault, Eric ; Luger, Richard ; Garcia, René.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2001-09.

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38. Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note : Nouvelle version Février 2002). (2001). Renault, Eric ; Luger, Richard ; Garcia, René.
    In: CIRANO Working Papers.
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39. Asymmetric Smiles, Leverage Effects and Structural Parameters. (2001). Renault, Eric ; Luger, Richard ; Garcia, René.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2001s-01.

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40. Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates. (2000). van der Sluis, Pieter ; Jiang, G. J..
    In: Discussion Paper.
    RePEc:tiu:tiucen:c0839083-c128-4a3f-a2c5-faa967ae4d9d.

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41. The intersection of market and credit risk. (2000). Jarrow, Robert ; Turnbull, Stuart M..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:24:y:2000:i:1-2:p:271-299.

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42. Pricing and hedging derivative securities with neural networks and a homogeneity hint. (2000). Garcia, René.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:94:y:2000:i:1-2:p:93-115.

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43. Pricing and hedging long-term options. (2000). Chen, Zhiwu ; Cao, Charles ; Bakshi, Gurdip.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:94:y:2000:i:1-2:p:277-318.

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44. Valuing Energy Options in a One Factor Model Fitted to Forward Prices. (1999). Clewlow, Les ; Strickland, Chris .
    In: Research Paper Series.
    RePEc:uts:rpaper:10.

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45. Pricing Options under Stochastic Interest Rates: A New Approach. (1999). .
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:6:y:1999:i:1:p:49-70.

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46. Pricing rate of return guarantees in a Heath-Jarrow-Morton framework. (1999). Persson, Svein-Arne ; Miltersen, Kristian R..
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:25:y:1999:i:3:p:307-325.

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47. Latent Variable Models for Stochastic Discount Factors. (1999). Renault, Eric ; Garcia, René.
    In: CIRANO Working Papers.
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48. Pricing stock and bond derivatives with a multi-factor Gaussian model. (1998). Isabelle Bajeux-Besnainou, Roland Portait, .
    In: Applied Mathematical Finance.
    RePEc:taf:apmtfi:v:5:y:1998:i:3-4:p:207-225.

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49. Risk Aversion, Intertemporal Substitution, and Option Pricing. (1998). Renault, Eric ; Garcia, René.
    In: Cahiers de recherche.
    RePEc:mtl:montde:9801.

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50. An Adaptive Evolutionary Approach to Option Pricing via Genetic Programming. (1998). Chidambaran, N. K. ; Trigueros, Joaguin R. ; Lee, Chi-Wen Jevons .
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:98-086.

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51. A direct discrete-time approach to Poisson-Gaussian bond option pricing in the Heath-Jarrow-Morton model. (1998). Das, Sanjiv.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:23:y:1998:i:3:p:333-369.

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52. Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint. (1998). Garcia, René ; Genay, Ramazan.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:98s-35.

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53. Risk Aversion, Intertemporal Substitution, and Option Pricing. (1998). Renault, Eric ; Garcia, René.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:98s-02.

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54. An Efficient Generalized Discrete-Time Approach to Poisson-Gaussian Bond Option Pricing in the Heath-Jarrow-Morton Model. (1997). Das, Sanjiv.
    In: NBER Technical Working Papers.
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55. An alternative valuation model for contingent claims. (1997). Chen, Zhiwu ; Bakshi Gurdip S., .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:44:y:1997:i:1:p:123-165.

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56. A path-dependent approach to security valuation with application to interest rate contingent claims. (1997). Gilkeson, James H. ; Breeden, Douglas T..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:21:y:1997:i:4:p:541-562.

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57. The pricing of Asian options under stochastic interest rates. (1996). Sandmann, Klaus ; Nielsen, J. A..
    In: Applied Mathematical Finance.
    RePEc:taf:apmtfi:v:3:y:1996:i:3:p:209-236.

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