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Recent empirical studies have demonstrated the informative nature of the equity returns in explaining the variation of the underlying firm's credit default swap (CDS) spreads. Motivated by these findings, we propose a unified credit-equity model by extending the latent structural model in Kijima et al. (2009). As in the original latent model, we treat the actual status of the firm to be unobservable and one can extract information from the marker process that is observable to the investors. Default occurs when the actual firm value drops below a default threshold for the first time. Different from the model in Kijima et al. (2009), however, we define the marker process to be the firm's equity process. Choosing firm's equity process to be a marker process subsequently relaxes the restrictions imposed in Kijima et al. (2009), enabling us to price firm-related securities. Additionally, we enrich the original latent structural model with jump and regime-switching dynamics. The purpose of the extensions is to capture more realistic credit spreads and implied volatility skews under different economic environments. The proposed model maintains analytical tractability even under such complex dynamics, for the prices of CDSs and equity options admit semi-closed-form solutions. In sum, our model can evaluate corporate securities and their derivatives in a unified framework. © World Scientific Publishing Company.

© Springer International Publishing Switzerland 2014. All rights are reserved. In this paper, we present the analytical solution for the Laplace transform of the joint distribution of the first passage time and undershoot/overshoot value under a regime-switching jump-diffusion model. With the help of some martingale technique, the Laplace transform of the first passage time becomes the solution of a system of linear equations. The methodology discussed here is fairly elementary and can be applied to many stopping-time problems under a regime-switching model with jump risks. Some numerical examples are given to demonstrate the usefulness of our method.

Muscle involvement, usually associated with pseudohypertrophy, has been described very rarely in patients with AL-(primary or myeloma-associated) amyloidosis. Although precise mechanisms for the motor impairment in amyloid-associated muscle pseudohypertrophy are unknown, amyloid accumulation in the muscle has been thought to be a main cause of muscle weakness. We here describe a patient of amyloid-associated muscle pseudohypertrophy with IgA lambda plasma cell dyscrasia, and discuss possible mechanisms for the physical disability. The patient, a 65-year-old man, was admitted because of progressive stiffness of limb and bulbar muscles for approximately three years. On physical examination he appeared muscular and athletic. The muscles were firm with wooden or rock-like hardness. Superficial veins were engorged in all extremities. Macroglossia was marked. Resistance to passive movement was noted in all extremities with decreased range of motion; proximal joints were more severely affected. The patient walking for a short distance, his legs became heavy, tired and firm, which forced him to stop. Immunoelectrophoresis revealed the monoclonal secretion of IgA lambda in the serum and free lambda light chain in the urine. Bone marrow examination disclosed 30% plasma cells with a large prevalence of IgA lambda-containing cells. A bone scan showed an increased uptake of 99mTc-methylene diphosphate in the shoulder and pelvic joints. Tissue pressures of the quadriceps femoris at the supine and standing positions, and after walking were as high as 47, 89, and 112 mmHg, respectively. Venography of the left leg showed narrowing of the femoral vein and visualization of saphena magna vein.(ABSTRACT TRUNCATED AT 250 WORDS)