44 citations · 231 across the 45 of their papers we have counts for
Showing 2011Show all
3 papers · 1 filter
q-fin.GN2011★ 15 cited
Optimal Capital Structure with Scale Effects under Spectrally Negative Levy Models
Budhi Arta Surya, Kazutoshi Yamazaki
The optimal capital structure model with endogenous bankruptcy was first studied by Leland (1994) and Leland and Toft (1996), and was later extended to the spectrally negative Levy…
q-fin.PR2011★ 18 cited
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…
math.OC2011★ 2 cited
On the continuous and smooth fit principle for optimal stopping problems in spectrally negative Levy models
Masahiko Egami, Kazutoshi Yamazaki
We consider a class of infinite-time horizon optimal stopping problems for spectrally negative Levy processes. Focusing on strategies of threshold type, we write explicit expressio…