A Structural Framework for the Pricing of Corporate Securities (eBook, PDF)
Michael Genser
eBook, PDF

A Structural Framework for the Pricing of Corporate Securities (eBook, PDF)

Economic and Empirical Issues

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In the last few years, a re?ned pricing of corporate securities has come intofocusofacademicsandpractitioners.Asempiricalresearchshowed, traditionalassetpricingmodelscouldnotpricecorporatesecuritiess- ?ciently well. Time series properties of quoted securities were di?cult to replicate. In the search for more advanced models that capture the empirical ?ndings, researchers followed two approaches. The ?rst stream of - search ?tted the time series properties of corporate securities directly. Werefertothisclassofmodelsasbeingofreducedform.Securityprices are assumed to follow more advanced stochast...

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