Share  Bookmark

 Download from



[1] Arriojas, M., Hu, Y., Mohammed, S., and Pap, G. 2007. A Delayed Black and Scholes Formula, Journal of Stochastic Analysis and Applications, 25 (2), 471492.
[2] Itoˆ, K., and Nisio, M. 1964. On stationary solutions of a stochastic differential equation. J. Math. Kyoto University 41:175.
[3] Kemajou, E, 2012. A Stochastic Delay Model for Pricing Corporate Liabilities, PhD thesis, Southern Illinois University in Carbondale, USA.
[4] Kemajou, E, Tambue, A., and Mohammed, S.E. A. 2012. A Stochastic Delay Model for Pricing Debt and Loan Guarantees: Numerical techniques and Applications, In preparation.
[5] Merton, R. C. 1974. On the Pricing of Corporate Debt: The Risk Structure of Interest Rates, Journal of Finance, 29 (2), 449470.
[6] Merton, R. C. 1977. An Analytic Derivation of the Cost of Deposit Insurance and Loan Guarantees, Journal of Banking and Finance, 9, 311.
[7] Merton, R. C. 1973. ContinuousTime Speculative Processes: Appendix to Paul A. Samuelson's 'Mathematics of Speculative Price' SIAM Review, 15:3438.
[8] Mizel, V.J., and Trutzer, V. 1984. Stochastic hereditary equations: existence and asymptotic stability. Journal of Integral Equations 7:172.
[9] Mohammed, S.E.A. 1998. Stochastic differential systems with memory: Theory, examples and applications. In:”Stochastic Analysis”. Decreusefond L., Gjerde J., Øksendal B., Ustunel A.S. (Eds.) Progress in Probability 42, Birkhauser, 177.
[10] Mohammed, S.E. A. 1984. Stochastic Functional Differential Equations, Pitman 99, BostonLondonMelbourne.