2 citations · 2 across the 3 of their papers we have counts for
3 papers
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.ST2011
Statistical Inference for Time-changed Brownian Motion Credit Risk Models
T. R. Hurd, Zhuowei Zhou
We consider structural credit modeling in the important special case where the log-leverage ratio of the firm is a time-changed Brownian motion (TCBM) with the time-change taken to…
q-fin.CP2009★ 2 cited
A Fourier transform method for spread option pricing
T. R. Hurd, Zhuowei Zhou
Spread options are a fundamental class of derivative contract written on multiple assets, and are widely used in a range of financial markets. There is a long history of approximat…