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Marco Realdon

Personal Details

First Name:Marco
Middle Name:
Last Name:Realdon
Suffix:
RePEc Short-ID:pre292
[This author has chosen not to make the email address public]

Affiliation

Department of Economics and Related Studies
University of York

York, United Kingdom
http://www.york.ac.uk/economics/
RePEc:edi:deyoruk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Marco Realdon, 2007. "Extended-Gaussian Term Structure Models and Credit Risk Applications," Discussion Papers 07/27, Department of Economics, University of York.
  2. Marco Realdon, 2007. "An Extended Structural Credit Risk Model (forthcoming in the Icfai Journal of Financial Risk Management; all copyrights rest with the Icfai University Press)," Discussion Papers 07/26, Department of Economics, University of York.
  3. Marco Realdon, 2007. "A Two Factor Black-Karasinski Credit Default Swap Pricing Model (forthcoming in the Icfai Journal of Derivatives Markets, Vol IV, No 4, October 2007; all copyrights rest with the Icfai University Pres," Discussion Papers 07/25, Department of Economics, University of York.
  4. Marco Realdon, 2006. "The Target Rate and Term Structure of Interest Rates," Discussion Papers 06/15, Department of Economics, University of York.
  5. Marco Realdon, 2006. "Book Values and Market Values of Equity and Debt," Discussion Papers 06/11, Department of Economics, University of York.
  6. Marco Realdon, 2006. "Equity Valuation Under Stochastic Interest Rates," Discussion Papers 06/12, Department of Economics, University of York.
  7. Marco Realdon, 2006. "Valuation of the Firm's Liabilities when Equity Holders are also Creditors," Discussion Papers 06/16, Department of Economics, University of York.
  8. Marco Realdon, 2006. "Quadratic Term Structure Models in Discrete Time," Discussion Papers 06/01, Department of Economics, University of York.
  9. Marco Realdon, "undated". "About Debt and the Option to Extend Debt Maturity," Discussion Papers 03/20, Department of Economics, University of York.
  10. Marco Realdon, "undated". "Convertible Subordinated Debt Valuation and "Conversion in Distress"," Discussion Papers 03/18, Department of Economics, University of York.
  11. Marco Realdon, "undated". "Corporate Bond Valuation with Both Expected and Unexpected Default," Discussion Papers 03/21, Department of Economics, University of York.
  12. Marco Realdon, "undated". "Valuation of Put Options on Leveraged Equity," Discussion Papers 03/19, Department of Economics, University of York.
  13. Marco Realdon, "undated". "Valuation of Exchangeable Convertible Bonds," Discussion Papers 03/17, Department of Economics, University of York.

Articles

  1. Marco Realdon & Cheng Qin Shi, 2010. "'Extended black' sovereign credit default swap pricing model," Applied Economics Letters, Taylor & Francis Journals, vol. 17(12), pages 1133-1137.
  2. Realdon, Marco, 2009. ""Extended Black" term structure models," International Review of Financial Analysis, Elsevier, vol. 18(5), pages 232-238, December.
  3. Realdon, Marco, 2006. "Revisiting cumulative preferred stock valuation," Finance Research Letters, Elsevier, vol. 3(1), pages 2-13, March.
  4. Realdon, Marco, 2006. "Quadratic term structure models in discrete time," Finance Research Letters, Elsevier, vol. 3(4), pages 277-289, December.

    RePEc:taf:apfelt:v:3:y:2007:i:4:p:225-230 is not listed on IDEAS
    RePEc:taf:apfelt:v:4:y:2008:i:4:p:241-248 is not listed on IDEAS

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Marco Realdon, 2007. "A Two Factor Black-Karasinski Credit Default Swap Pricing Model (forthcoming in the Icfai Journal of Derivatives Markets, Vol IV, No 4, October 2007; all copyrights rest with the Icfai University Pres," Discussion Papers 07/25, Department of Economics, University of York.

    Cited by:

    1. Guarin, Alexander & Liu, Xiaoquan & Ng, Wing Lon, 2011. "Enhancing credit default swap valuation with meshfree methods," European Journal of Operational Research, Elsevier, vol. 214(3), pages 805-813, November.

  2. Marco Realdon, 2006. "Book Values and Market Values of Equity and Debt," Discussion Papers 06/11, Department of Economics, University of York.

    Cited by:

    1. Chinwe, R. Okoyeuzu, 2012. "Corporate Tax And Financing Decisions: An Emerging Market Experience," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 3(3), pages 5-16, June.

  3. Marco Realdon, 2006. "Quadratic Term Structure Models in Discrete Time," Discussion Papers 06/01, Department of Economics, University of York.

    Cited by:

    1. Andreasen, Martin M & Meldrum, Andrew, 2015. "Dynamic term structure models: the best way to enforce the zero lower bound in the United States," Bank of England working papers 550, Bank of England.
    2. Marcello Pericoli & Marco Taboga, 2018. "Nearly exact Bayesian estimation of non-linear no-arbitrage term structure models," Temi di discussione (Economic working papers) 1189, Bank of Italy, Economic Research and International Relations Area.
    3. Chung, Tsz-Kin & Hui, Cho-Hoi & Li, Ka-Fai, 2017. "Term-structure modelling at the zero lower bound: Implications for estimating the forward term premium," Finance Research Letters, Elsevier, vol. 21(C), pages 100-106.
    4. Anne Lundgaard Hansen, 2018. "Volatility-Induced Stationarity and Error-Correction in Macro-Finance Term Structure Modeling," Discussion Papers 18-12, University of Copenhagen. Department of Economics.
    5. Hansen, Anne Lundgaard, 2021. "Modeling persistent interest rates with double-autoregressive processes," Journal of Banking & Finance, Elsevier, vol. 133(C).
    6. Andreasen, Martin M. & Christensen, Bent Jesper, 2015. "The SR approach: A new estimation procedure for non-linear and non-Gaussian dynamic term structure models," Journal of Econometrics, Elsevier, vol. 184(2), pages 420-451.
    7. Martin M. Andreasen & Andrew C. Meldrum, 2018. "A Shadow Rate or a Quadratic Policy Rule? The Best Way to Enforce the Zero Lower Bound in the United States," Finance and Economics Discussion Series 2018-056, Board of Governors of the Federal Reserve System (U.S.).
    8. Marco Realdon, 2006. "Equity Valuation Under Stochastic Interest Rates," Discussion Papers 06/12, Department of Economics, University of York.
    9. Bruno Feunou & Jean-Sébastien Fontaine & Anh Le & Christian Lundblad, 2022. "Tractable Term Structure Models," Management Science, INFORMS, vol. 68(11), pages 8411-8429, November.
    10. Andreasen, Martin & Meldrum, Andrew, 2013. "Likelihood inference in non-linear term structure models: the importance of the lower bound," Bank of England working papers 481, Bank of England.
    11. Campbell, John Y. & Sunderam, Adi & Viceira, Luis M., 2017. "Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds," Critical Finance Review, now publishers, vol. 6(2), pages 263-301, September.
    12. Realdon, Marco, 2016. "Tests of non linear Gaussian term structure models," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 44(C), pages 128-147.

  4. Marco Realdon, "undated". "Corporate Bond Valuation with Both Expected and Unexpected Default," Discussion Papers 03/21, Department of Economics, University of York.

    Cited by:

    1. Hyong-Chol O & Ning Wan, 2013. "Analytical Pricing of Defaultable Bond with Stochastic Default Intensity," Papers 1303.1298, arXiv.org, revised Apr 2013.
    2. Regis Houssou & Olivier Besson, 2010. "Indifference of Defaultable Bonds with Stochastic Intensity models," Papers 1003.4118, arXiv.org.

  5. Marco Realdon, "undated". "Valuation of Exchangeable Convertible Bonds," Discussion Papers 03/17, Department of Economics, University of York.

    Cited by:

    1. Kyoko Yagi & Katsushige Sawaki, 2010. "The Valuation Of Callable-Puttable Reverse Convertible Bonds," Asia-Pacific Journal of Operational Research (APJOR), World Scientific Publishing Co. Pte. Ltd., vol. 27(02), pages 189-209.
    2. Jonathan A. Batten & Karren Lee-Hwei Khaw & Martin R. Young, 2014. "Convertible Bond Pricing Models," Journal of Economic Surveys, Wiley Blackwell, vol. 28(5), pages 775-803, December.

Articles

  1. Realdon, Marco, 2009. ""Extended Black" term structure models," International Review of Financial Analysis, Elsevier, vol. 18(5), pages 232-238, December.

    Cited by:

    1. Realdon, Marco, 2016. "Tests of non linear Gaussian term structure models," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 44(C), pages 128-147.

  2. Realdon, Marco, 2006. "Quadratic term structure models in discrete time," Finance Research Letters, Elsevier, vol. 3(4), pages 277-289, December.
    See citations under working paper version above.

More information

Research fields, statistics, top rankings, if available.

Statistics

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 12 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-CFN: Corporate Finance (7) 2003-11-30 2003-11-30 2003-11-30 2003-12-14 2006-06-24 2007-09-30 2007-09-30. Author is listed
  2. NEP-RMG: Risk Management (6) 2003-11-30 2003-11-30 2003-11-30 2003-11-30 2003-12-14 2007-09-30. Author is listed
  3. NEP-FIN: Finance (5) 2006-01-24 2006-06-10 2006-06-24 2006-09-11 2006-09-11. Author is listed
  4. NEP-FMK: Financial Markets (4) 2006-06-10 2006-06-24 2006-09-11 2006-09-11
  5. NEP-ACC: Accounting and Auditing (1) 2006-06-24
  6. NEP-BAN: Banking (1) 2007-09-30
  7. NEP-CBA: Central Banking (1) 2006-09-11
  8. NEP-MAC: Macroeconomics (1) 2006-09-11
  9. NEP-MON: Monetary Economics (1) 2006-09-11
  10. NEP-REG: Regulation (1) 2006-09-11

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