44 citations · 231 across the 45 of their papers we have counts for
3 papers · 1 filter
The Leland-Toft optimal capital structure model under Poisson observations
Zbigniew Palmowski, José Luis Pérez, Budhi Arta Surya +1
We revisit the optimal capital structure model with endogenous bankruptcy first studied by Leland \cite{Leland94} and Leland and Toft \cite{Leland96}. Differently from the standard…
Default Swap Games Driven by Spectrally Negative Levy Processes
Masahiko Egami, Tim S. T. Leung, Kazutoshi Yamazaki
This paper studies game-type credit default swaps that allow the protection buyer and seller to raise or reduce their respective positions once prior to default. This leads to the…
American Step-Up and Step-Down Default Swaps under Levy Models
Tim Siu-Tang Leung, Kazutoshi Yamazaki
This paper studies the valuation of a class of default swaps with the embedded option to switch to a different premium and notional principal anytime prior to a credit event. These…