This work develops some simple models to study risky corporate debt using first passage-time approach. Analytical valuation expression derived from different models as functions of firm’s values and the short-term interest rate with time-dependent parameters governing the dynamics of the firm values and interest rate. We develop some numerical approximation of the analytical valuation, which is given implicitly through Voltera integral equation related to the density of the first-passage- time that a firm reaches some specified default barrier. For some appropriate default barrier arising from financial considerations we obtain a closed-form solution, which is more flexible for numerical calculation. / Doctorat en sciences de gestion / info:eu-repo/semantics/nonPublished
| Identifer | oai:union.ndltd.org:ulb.ac.be/oai:dipot.ulb.ac.be:2013/210756 |
| Date | 13 September 2006 |
| Creators | Loulit, Ahmed |
| Contributors | Farber, André, Briys, Eric, Szafarz, Ariane, Gossez, Jean-Pierre, Pirotte, Hugues |
| Publisher | Universite Libre de Bruxelles, Université libre de Bruxelles, Faculté des Sciences sociales, politiques et économiques – Ecole de commerce Solvay, Bruxelles |
| Source Sets | Université libre de Bruxelles |
| Language | English |
| Detected Language | English |
| Type | info:eu-repo/semantics/doctoralThesis, info:ulb-repo/semantics/doctoralThesis, info:ulb-repo/semantics/openurl/vlink-dissertation |
| Format | 1 v. (129 p.), No full-text files |
Page generated in 0.0028 seconds