Perpetual American warrants have been traded on the stock exchanges or over the counter
at least since 1929, as is emphasized in several of the" most-read" finance books. The first …

This chapter presents a structural model à la Leland (1994) that is, at the same time, novel,
simple, and able to explain the quotes of credit default swaps (CDS), equity, and equity …

This paper reviews some steps that paved the way for the development of sentiment analysis
(or opinion mining), a technique apparently used by Jim Simons’ Medallion fund for scoring …

The aim of this paper is to extract credit-risk sensitive information from the quotes of equity
options and CDSs. In particular, we wish to estimate the firm’s leverage, as it is perceived by …

… We also used the results obtained by Barone (2010), where it has been proved that
perpetual American options follow a geometric Brownian motion, under the standard Black-Scholes-Merton …

… Emilio Barone and Gaia Barone EMILIO BARONE … Emilio Barone wishes to express
his gratitude to Prof. Diego de Castro, supervisor of his MSc. thesis, for introducing him to …

In this paper, we calibrate a perpetual-debt structural model (PDSM) by using Moody’s historical
credit ratings. In the PDSM, stocks are equivalent to a portfolio that contains a perpetual …

In this paper, we outline the general lines of a structural model that is based on the Leland
model (1994), but differs from its assumptions about the tax regime. In the revised model, …

The classic estimates of CAPM equity betas are notoriously unstable. We assume that this is
mainly due to changes of firm’s leverage over time. In order to take leverage into account, …

… emilio.barone@luiss.it GAIA BARONE … The repo rate is the difference between the
interest rate on money lending and the interest rate on securities lending {Williams and …