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Details about Marco Realdon

Workplace:Department of Economics and Related Studies, University of York, (more information at EDIRC)

Access statistics for papers by Marco Realdon.

Last updated 2011-11-01. Update your information in the RePEc Author Service.

Short-id: pre292


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Working Papers

2007

  1. A Two Factor Black-Karasinski Credit Default Swap Pricing Model (forthcoming in the Icfai Journal of Derivatives Markets, Vol IV, No 4, October 2007; all copyrights rest with the Icfai University Press)
    Discussion Papers, Department of Economics, University of York Downloads View citations (1)
  2. An Extended Structural Credit Risk Model (forthcoming in the Icfai Journal of Financial Risk Management; all copyrights rest with the Icfai University Press)
    Discussion Papers, Department of Economics, University of York Downloads
  3. Extended-Gaussian Term Structure Models and Credit Risk Applications
    Discussion Papers, Department of Economics, University of York Downloads

2006

  1. Book Values and Market Values of Equity and Debt
    Discussion Papers, Department of Economics, University of York Downloads View citations (1)
  2. Equity Valuation Under Stochastic Interest Rates
    Discussion Papers, Department of Economics, University of York Downloads
  3. Quadratic Term Structure Models in Discrete Time
    Discussion Papers, Department of Economics, University of York Downloads View citations (12)
    See also Journal Article Quadratic term structure models in discrete time, Finance Research Letters, Elsevier (2006) Downloads View citations (12) (2006)
  4. The Target Rate and Term Structure of Interest Rates
    Discussion Papers, Department of Economics, University of York Downloads
  5. Valuation of the Firm's Liabilities when Equity Holders are also Creditors
    Discussion Papers, Department of Economics, University of York Downloads

Undated

  1. About Debt and the Option to Extend Debt Maturity
    Discussion Papers, Department of Economics, University of York Downloads
  2. Convertible Subordinated Debt Valuation and "Conversion in Distress"
    Discussion Papers, Department of Economics, University of York Downloads
  3. Corporate Bond Valuation with Both Expected and Unexpected Default
    Discussion Papers, Department of Economics, University of York Downloads View citations (2)
  4. Valuation of Exchangeable Convertible Bonds
    Discussion Papers, Department of Economics, University of York Downloads View citations (2)
  5. Valuation of Put Options on Leveraged Equity
    Discussion Papers, Department of Economics, University of York Downloads

Journal Articles

2010

  1. 'Extended black' sovereign credit default swap pricing model
    Applied Economics Letters, 2010, 17, (12), 1133-1137 Downloads

2009

  1. "Extended Black" term structure models
    International Review of Financial Analysis, 2009, 18, (5), 232-238 Downloads View citations (1)

2006

  1. Quadratic term structure models in discrete time
    Finance Research Letters, 2006, 3, (4), 277-289 Downloads View citations (12)
    See also Working Paper Quadratic Term Structure Models in Discrete Time, Discussion Papers (2006) Downloads View citations (12) (2006)
  2. Revisiting cumulative preferred stock valuation
    Finance Research Letters, 2006, 3, (1), 2-13 Downloads
 
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