On the public citation graph
Estimating the Term Structure of Yield Spreads from Callable Corporate Bond Price Data
0 signed · 55 inferred · view as graph
Inferred edges come from two machine sources: sweeps of open repository metadata (mostly SSRN and Zenodo), and a bulk OpenAlex citation snapshot. Every row below is labelled with the one it came from. Neither is a complete citation index — absence here is not evidence of absence.
Is this your work? Sign in with ORCID and put your name on the
claims that are yours.
Reference health. See whether every reference in this work resolves to a
known work and none has been retracted — and get a dated CiteStamped
badge you can embed.
What this work says
Outgoing claims: the papers this work cites, builds on, or argues with.
inferredcites →https://doi.org/10.1007/978-1-84628-696-4_13openalex-snapshot
Brownian Motion and Stochastic Calculus
inferredcites →https://doi.org/10.1007/978-3-540-31299-4_9openalex-snapshot
A General Version of the Fundamental Theorem of Asset Pricing (1994)
inferredcites →https://doi.org/10.1007/978-3-642-56046-0_29openalex-snapshot
American Option Pricing: A Classification — Monte Carlo (CMC) Approach
inferredcites →https://doi.org/10.1007/978-3-662-10061-5openalex-snapshot
Stochastic Integration and Differential Equations
inferredcites →https://doi.org/10.1007/978-4-431-53979-7_6openalex-snapshot
Monte Carlo method for pricing of Bermuda type derivatives
inferredcites →https://doi.org/10.1007/bf03396673openalex-snapshot
The Pricing of Options on Credit-Sensitive Bonds
inferredcites →https://doi.org/10.1007/s007800200071openalex-snapshot
An analysis of a least squares regression method for American option pricing
inferredcites →https://doi.org/10.1016/0022-0531(79)90043-7openalex-snapshot
Martingales and arbitrage in multiperiod securities markets
inferredcites →https://doi.org/10.1016/0304-405x(77)90005-8openalex-snapshot
Options: A Monte Carlo approach
inferredcites →https://doi.org/10.1016/s0165-1889(97)00028-6openalex-snapshot
Monte Carlo methods for security pricing
inferredcites →https://doi.org/10.1016/s0165-1889(97)00029-8openalex-snapshot
Pricing American-style securities using simulation
inferredcites →https://doi.org/10.1016/s0167-6687(96)00004-2openalex-snapshot
Valuation of the early-exercise price for options using simulations and nonparametric regression
inferredcites →https://doi.org/10.1016/s0378-4266(00)00085-6openalex-snapshot
Probability of call and likelihood of the call feature in a corporate bond
inferredcites →https://doi.org/10.1017/s0962492900002804openalex-snapshot
Monte Carlo and quasi-Monte Carlo methods
inferredcites →https://doi.org/10.1023/a:1027340210935openalex-snapshot
On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives
inferredcites →https://doi.org/10.1023/b:fina.0000003321.05468.7dopenalex-snapshot
Getting the Most Out of a Mandatory Subordinated Debt Requirement
inferredcites →https://doi.org/10.1086/260062openalex-snapshot
The Pricing of Options and Corporate Liabilities
inferredcites →https://doi.org/10.1086/497044openalex-snapshot
The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications*
inferredcites →https://doi.org/10.1093/rapstu/ras011openalex-snapshot
How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk?
inferredcites →https://doi.org/10.1093/rfs/10.2.481openalex-snapshot
A Markov Model for the Term Structure of Credit Risk Spreads
inferredcites →https://doi.org/10.1093/rfs/12.1.197openalex-snapshot
Estimating the Price of Default Risk
inferredcites →https://doi.org/10.1093/rfs/12.4.687openalex-snapshot
Modeling Term Structures of Defaultable Bonds
inferredcites →https://doi.org/10.1093/rfs/14.1.113openalex-snapshot
Valuing American Options by Simulation: A Simple Least-Squares Approach
inferredcites →https://doi.org/10.1093/rfs/hhi009openalex-snapshot
Is Default Event Risk Priced in Corporate Bonds?
inferredcites →https://doi.org/10.1109/72.935083openalex-snapshot
Regression methods for pricing complex American-style options
inferredcites →https://doi.org/10.1109/9.793723openalex-snapshot
Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
inferredcites →https://doi.org/10.1109/tac.2004.824466openalex-snapshot
Valuation of American Options via Basis Functions
inferredcites →https://doi.org/10.1111/0022-1082.00324openalex-snapshot
Explaining the Rate Spread on Corporate Bonds
inferredcites →https://doi.org/10.1111/0022-1082.00395openalex-snapshot
Do Credit Spreads Reflect Stationary Leverage Ratios?
inferredcites →https://doi.org/10.1111/1467-9965.02010openalex-snapshot
Monte Carlo valuation of American options
inferredcites →https://doi.org/10.1111/1540-6261.00520openalex-snapshot
Modeling Sovereign Yield Spreads: A Case Study of Russian Debt
inferredcites →https://doi.org/10.1111/j.1467-9965.2002.tb00132.xopenalex-snapshot
PRICING COUPON‐BOND OPTIONS AND SWAPTIONS IN AFFINE TERM STRUCTURE MODELS
inferredcites →https://doi.org/10.1111/j.1468-0262.2004.00538.xopenalex-snapshot
A General Formula for Valuing Defaultable Securities
inferredcites →https://doi.org/10.1111/j.1540-6261.1974.tb03058.xopenalex-snapshot
ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*
inferredcites →https://doi.org/10.1111/j.1540-6261.1995.tb04037.xopenalex-snapshot
A Simple Approach to Valuing Risky Fixed and Floating Rate Debt
inferredcites →https://doi.org/10.1111/j.1540-6261.1995.tb05167.xopenalex-snapshot
Pricing Derivatives on Financial Securities Subject to Credit Risk
inferredcites →https://doi.org/10.1142/9789812810663_0011openalex-snapshot
SIMULATING BERMUDAN INTEREST RATE DERIVATIVES
inferredcites →https://doi.org/10.1214/aoap/1060202833openalex-snapshot
Affine processes and applications in finance
inferredcites →https://doi.org/10.1287/mnsc.1040.0258openalex-snapshot
Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options
inferredcites →https://doi.org/10.1287/opre.1030.0070openalex-snapshot
Pricing American Options: A Duality Approach
inferredcites →https://doi.org/10.17016/feds.1997.15openalex-snapshot
A Jump-Diffusion Approach to Modeling Credit Risk and Valuing Defaultable Securities
inferredcites →https://doi.org/10.21314/jcf.1999.041openalex-snapshot
A simple approach to the pricing of Bermudan swaptions in the multifactor LIBOR market model
inferredcites →https://doi.org/10.21314/jcf.2001.066openalex-snapshot
Pricing American options: a comparison of Monte Carlo simulation approaches
inferredcites →https://doi.org/10.2307/2331347openalex-snapshot
Numerical Valuation of High Dimensional Multivariate American Securities
inferredcites →https://doi.org/10.2307/3665932openalex-snapshot
Does Default Risk in Coupons Affect the Valuation of Corporate Bonds?: A Contingent Claims Model
What points at this work
Incoming claims: where this work appears in other papers’ reference lists and arguments.
inferred← citeshttps://doi.org/10.2139/ssrn.2154459openalex-extracted
Call Feature and Corporate Bond Yield Spreads
inferred← citeshttps://doi.org/10.1007/978-1-4419-9586-5_4openalex-snapshot
Hedging Market and Credit Risk in Corporate Bond Portfolios
inferred← citeshttps://doi.org/10.1016/j.jfineco.2009.10.001openalex-snapshot
Reduced-form valuation of callable corporate bonds: Theory and evidence
inferred← citeshttps://doi.org/10.3905/jfi.2010.20.2.080openalex-snapshot
Corporate Bond Pricing and the Effects of Endogenous Default and Call Options
inferred← citeshttps://doi.org/10.3905/jfi.2017.26.3.033openalex-snapshot
A Structural Model for Optimal Selection of Maturity and Timing of Callable Bond Issuance
Editorial review for independent work. ICSAC — the Institute for Complexity
Science and Advanced Computing — runs a structured editorial panel for researchers
publishing outside journals, and publishes on CiteStamp rails. Submission is free
and goes through ORCID: icsacinstitute.org/submit.