A unified framework for pricing credit and equity derivatives

Andrea De Martino, Edward Ruiz Crosby and Roberto Stagni
Additional contact information
Andrea De Martino: Barcelona GSE
Roberto Stagni: Barcelona GSE

No 116, Working Papers from Peruvian Economic Association

Abstract: This master project scrutinizes the underlying theoretical arguments within Bayraktar and Yang's (2011) model and tests if it is robust with newer 2017 data. We demonstrate all the related strong mathematical foundations to understand their model. We also observe that the matching between the observed and estimated data is not as good as expected with the Ford Motor Company data yet being better for the SPX Index data. Thus we claim for the model to be improved with more recent research.

Date: 2017-12
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://perueconomics.org/wp-content/uploads/2018/01/WP-116.pdf 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: https://EconPapers.repec.org/RePEc:apc:wpaper:2017-116

Access Statistics for this paper

More papers in Working Papers from Peruvian Economic Association Contact information at EDIRC.
Bibliographic data for series maintained by Nelson Ramírez-Rondán ().