Corporate Debt

  • Tomasz R. Bielecki
  • Marek Rutkowski
Part of the Springer Finance book series (FINANCE)

Abstract

The structural approach is primarily directed at pricing the firm’s liabilities. In this methodology, the firm’s liabilities are seen as contingent claims issued against the total value of firm’s assets; for this reason this approach is also referred to as the firm value approach or the option-theoretic approach.

Keywords

Filtration Hull Volatility Hedging 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2004

Authors and Affiliations

  • Tomasz R. Bielecki
    • 1
  • Marek Rutkowski
    • 2
  1. 1.Applied Mathematics DepartmentIllinois Institute of TechnologyChicagoUSA
  2. 2.Faculty of Mathematics and Information SciencePolitechnika WarszawskaWarszawaPoland

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