Robert G. Smith

University of Cambridge - Judge Business School

Trumpington Street

Cambridge, CB2 1AG

United Kingdom

www.jims.cam.ac.uk

  • University of Cambridge - Judge Business School

SCHOLARLY PAPERS

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Scholarly Papers (2)

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1.

Pricing Equity Default Swaps Using Structural Credit Models

University of Cambridge, Judge Institute of Management Working Paper No. 12/2004
Number of pages: 21 Posted: 21 Feb 2005
Elena Medova and Robert G. Smith
University of Cambridge - Centre for Financial Research and University of Cambridge - Judge Business School
Downloads 654 (78,493)
Citation 6

Abstract:

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equity-credit hybrid derivatives, equity default swaps, structural credit models

2.

Does the Firm-Specific Asset Volatility Process Implied by the Equity Market Revert to a Constant Value?

University of Cambridge, Judge Institute of Management Working Paper No. 11/2004
Number of pages: 31 Posted: 21 Feb 2005
Elena Medova and Robert G. Smith
University of Cambridge - Centre for Financial Research and University of Cambridge - Judge Business School
Downloads 252 (232,741)
Citation 1

Abstract:

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structural credit models, asset volatility, equity volatility