Details about Marco Realdon

Access statistics for papers by Marco Realdon.

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

Short-id: pre292

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 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
3. Extended-Gaussian Term Structure Models and Credit Risk Applications
   Discussion Papers, Department of Economics, University of York

2006

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

Undated

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

Journal Articles

2010

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

2009

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

2006

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