scholarly journals Valuing Defaultable Bonds: An Excursion Time Approach

2005 ◽  
Author(s):  
Martina Nardon
Keyword(s):  
Defaultable Bonds ◽  
Excursion Time

The ecology of the island-lizard Podarcis sicula salfii

1981 ◽  
Vol 2 (3) ◽  
pp. 243-257 ◽  
Author(s):  
P.E. Ouboter
Keyword(s):  
Body Temperature ◽  
Interspecific Competition ◽  
The Sun ◽  
Podarcis Sicula ◽  
Dense Vegetation ◽  
Food Size ◽  
Preferred Body Temperature ◽  
Erica Arborea ◽  
Sufficient Food ◽  
Excursion Time

AbstractIn the summers of 1974 till 1979 microdistribution of Podarcis sicula saffti was examined. Areas without much vegetation and areas with dense vegetation have low densities. Horizontal space, predators, parasites, interspecific competition, shelter and dew appear to be non important factors in the microdistribution of P. s. safii. From 9 a. m. until 6 p. m. temperature in the sun is above PBT (preferred-body-temperature) in all zones. Shade temperature is different from one zone to another. In the most rocky zone without much vegetation, shade is provided by crevices. Shade temperature is under PBT. Food is mainly available outside crevices, in vegetation of Statice sinuatum. Food-size is small, so excursion-time will be long. Lizards are able to collect sufficient food if Statice-plants are close to crevices. The zone with vegetation of Erica arborea, on top of the island, is shaded all day. Shade temperature is under PBT. Only clearings are inhabited by lizards. All other zones have bushes and open areas. During the hot hours bushes provide shade, with shade temperature close to PBT. Food is mainly available in these bushes.

Market implied volatilities for defaultable bonds

2018 ◽  
Vol 275 (2) ◽  
pp. 669-683
Author(s):  
Vincenzo Russo ◽  
Rosella Giacometti ◽  
Frank J. Fabozzi
Keyword(s):  
Defaultable Bonds

Stochastic Volatility Effects on Defaultable Bonds

2006 ◽  
Vol 13 (3) ◽  
pp. 215-244 ◽  
Author(s):  
Jean‐Pierre Fouque ◽  
Ronnie Sircar ◽  
Knut S⊘lna
Keyword(s):  
Stochastic Volatility ◽  
Defaultable Bonds

Exponential ergodicity of an affine two-factor model based on the α-root process

2017 ◽  
Vol 49 (4) ◽  
pp. 1144-1169 ◽  
Author(s):  
Peng Jin ◽  
Jonas Kremer ◽  
Barbara Rüdiger
Keyword(s):  
Parameter Estimation ◽  
Factor Model ◽  
Estimation Problem ◽  
Two Dimensional ◽  
Dimensional Model ◽  
Parameter Estimation Problem ◽  
Exponential Ergodicity ◽  
Model Based ◽  
Defaultable Bonds ◽  
Two Dimensional Model

Abstract We study an affine two-factor model introduced by Barczy et al. (2014). One component of this two-dimensional model is the so-called α-root process, which generalizes the well-known Cox–Ingersoll–Ross process. In the α = 2 case, this two-factor model was used by Chen and Joslin (2012) to price defaultable bonds with stochastic recovery rates. In this paper we prove exponential ergodicity of this two-factor model when α ∈ (1, 2). As a possible application, our result can be used to study the parameter estimation problem of the model.

Term structure modelling of defaultable bonds

1998 ◽  
Vol 2 (2-3) ◽  
pp. 161-192 ◽  
Author(s):  
Philipp J. Sch�nbucher
Keyword(s):  
Term Structure ◽  
Defaultable Bonds
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