Leong U Man. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2006. / Includes bibliographical references (leaves 32-34). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Structural Bond Pricing Models --- p.5 / Chapter 2.1 --- The Merton Model --- p.5 / Chapter 2.2 --- Extended Merton Model --- p.6 / Chapter 2.3 --- Longstaff and Schwartz Model --- p.8 / Chapter 3 --- Methodology --- p.11 / Chapter 3.1 --- Maximum Likelihood Estimation --- p.13 / Chapter 3.2 --- Non-linear Filtering Process --- p.13 / Chapter 3.3 --- Modification for LS Model --- p.15 / Chapter 4 --- Simulation and Empirical Analysis --- p.16 / Chapter 4.1 --- Simulation Study --- p.16 / Chapter 4.2 --- Empirical Analysis --- p.19 / Chapter 4.2.1 --- Bond Selection --- p.19 / Chapter 4.2.2 --- Result for EM Model --- p.21 / Chapter 4.2.3 --- Result for LS Model --- p.24 / Chapter 4.3 --- Implications from Empirical Analysis --- p.28 / Chapter 5 --- Conclusion --- p.30 / Bibliography --- p.32
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_325482 |
| Date | January 2006 |
| Contributors | Leong, U Man., Chinese University of Hong Kong Graduate School. Division of Risk Management Science. |
| Source Sets | The Chinese University of Hong Kong |
| Language | English, Chinese |
| Detected Language | English |
| Type | Text, bibliography |
| Format | print, viii, 34 leaves : ill. ; 30 cm. |
| Rights | Use of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/) |
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