109 citations · 224 across the 16 of their papers we have counts for
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q-fin.PR2011
Two-factor capital structure models for equity and credit
Thomas R. Hurd, Zhuowei Zhou
We extend the now classic structural credit modeling approach of Black and Cox to a class of "two-factor" models that unify equity securities such as options written on the stock p…
q-fin.PR2009★ 2 cited
Credit risk modeling using time-changed Brownian motion
T. R. Hurd
Motivated by the interplay between structural and reduced form credit models, we propose to model the firm value process as a time-changed Brownian motion that may include jumps an…