Tarek Fakhfakh

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We design and implement a dynamic program (DP) for valuing corporate securities, seen as derivatives on a …rm's assets, and computing the term structure of yield spreads and default probabilities. Our setting accommodates arbitrary corporate debts, multiple seniority classes, payouts, tax bene…ts, bankruptcy costs, and a reorganization process. This(More)
Les textes publiés dans la série des rapports de recherche HEC n'engagent que la responsabilité de leurs auteurs. La publication de ces rapports de recherche bénéficie d'une subvention du Fonds de recherche du Québec – Nature et technologies. Abstract The aim of this paper is to compute upper and lower bounds for convex value functions of derivative(More)
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