This article provides a new methodology for pricing and hedging derivative securities involving
credit risk. Two types of credit risks are considered. The first is where the asset underlying …

This article provides a Markov model for the term structure of credit risk spreads. The model
is based on Jarrow and Turnbull (1995) , with the bankruptcy process following a discrete …

This paper investigates market manipulation trading strategies by large traders in a securities
market. A large trader is defined as any investor whose trades change prices. A market …

Classical theories of financial markets assume an infinitely liquid market and that all traders
act as price takers. This theory is a good approximation for highly liquid stocks, although …

This chapter compares structural versus reduced‐form credit risk models from an information‐based
perspective. It demonstrates that these models are not disconnected and disjoint …

This paper investigates the forecasting accuracy of bankruptcy hazard rate models for US
companies over the time period 1962–1999 using both yearly and monthly observation …

This paper studies asset price bubbles in a continuous time model using the local martingale
framework. Providing careful definitions of the asset's market and fundamental price, we …

It has been a stressful time for ultra-high-net-worth families since the beginning of the new
millennium. In addition to recent widespread vilification of the wealthy, they, like other investors…

Motivated by recent financial crises in East Asia and the United States where the downfall of
a small number of firms had an economy‐wide impact, this paper generalizes existing …

Economic theory tells us that market and credit risks are intrinsically related to each other
and not separable. We describe the two main approaches to pricing credit risky instruments: …