Economics at your fingertips  

First Passage and Excursion Time Models for Valuing Defautltable Bonds: a Review with Some Insights

Martina Nardon ()

Frontiers in Finance and Economics, 2008, vol. 5, issue 2, 1-25

Keywords: credit risk; sturctural models; default boundary; first-passage time; excursion time (search for similar items in EconPapers)
JEL-codes: C15 C63 G12 G13 (search for similar items in EconPapers)
Date: 2008
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link) (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

Frontiers in Finance and Economics is currently edited by Ephraim Clark

More articles in Frontiers in Finance and Economics from SKEMA Business School
Bibliographic data for series maintained by Sophie Bodo ( this e-mail address is bad, please contact ).

Page updated 2023-01-13
Handle: RePEc:ffe:journl:v:5:y:2008:i:2:p:1-25