Investigating the effects of illiquidity on credit risks via new liquidity augmented stochastic volatility jump diffusion model-Reference-Cited by-同舟云学术

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Investigating the effects of illiquidity on credit risks via new liquidity augmented stochastic volatility jump diffusion model

Published:2021-12-28 Issue: Volume: Page:1-29
ISSN:0233-1934
Container-title:Optimization
language:en
Short-container-title:Optimization

Author:

Gaygısız Esma¹,Karasan Abdullah²³⁴,Hekimoğlu Alper⁵

Affiliation:

1. Department of Economics and the Institute of Applied Mathematics, Middle East Technical University, Ankara, Turkey

2. Magnimind Academy in Sunnyvale, Sunnyvale, CA, USA

3. Department of Financial Mathematics, Middle East Technical University, Ankara, Turkey

4. Computer Science and Electrical Engineering, University of Maryland, Baltimore County, Baltimore, MD, USA

5. European Investment Bank (EIB), Model Validation Division, Luxembourg

Publisher

Informa UK Limited

Subject

Applied Mathematics,Management Science and Operations Research,Control and Optimization

Link

https://www.tandfonline.com/doi/pdf/10.1080/02331934.2021.2013842

Reference41 articles.

1. Macroeconomic Conditions, Firm Characteristics, and Credit Spreads

2. The Pricing of Options and Corporate Liabilities

3. On the Pricing of Corporate Debt: The Risk Structure of Interest Rates

4. Predicting default probabilities in emerging markets by new conic generalized partial linear models and their optimization

5. Liquidity and Credit Risk

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