One often wants to value a risky payoff by reference to prices of other assets rather than by
exploiting full‐fledged economic models. However, this approach breaks down if one cannot …

We price corporate debt from a structural model of firm default. We assume that the capital
market brings about efficient firm default when the continuation value of the firm falls below the …

We price corporate debt from a structural model of firm default. We assume that the capital
market brings about efficient firm default when the continuation value of the firm falls below the …

This paper studies the financing decisions of Spanish firms. The results presented in the
paper provide empirical evidence that Spanish firms care about whether the funds are raised …

We offer a new model for pricing bonds subject to default risk. The event of default is remodeled
as the first time that a state variable that captures the solvency of the issue goes below a …

It is often useful to price assets and other random payoffs by reference to other observed
prices rather than construct full-fledged economic asset pricing models. This approach breaks …

Mas and Sai-Rcqucjo explain the features of an array of futures contracts and their basic
pricing relationships and describe a few applications to show how investors and risk managers …

… T; SAA-REQUEJO, J; SANTA-CLARA, P …

… T 1 ; SAA-REQUEJO, J 2 …

I. Exchange rate and term structure dynamics and the pricing of derivative securities. We
develop a two-factor international general equilibrium model of exchange rates and the term …