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A unified framework for pricing credit and equity derivatives

Andrea De Martino, Edward Manuel Ruiz Crosby and Roberto Stagni
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Andrea De Martino: Barcelona GSE
Edward Manuel Ruiz Crosby: BCRP
Roberto Stagni: Barcelona GSE

No 2017-116, 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
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