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T. R. Hurd · Study
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Author
T. R. Hurd
9 works
· latest 2016
· 2 institutions
cluster: provisional
ORCID 0000-0003-1131-5502
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Citations
642
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Most cited in this library
A Fourier Transform Method for Spread Option Pricing
2010 · 182 citations
Contagion! Systemic Risk in Financial Networks
2016 · 94 citations
Portfolio Choice in Markets with Contagion
2015 · 88 citations
Portfolio choice with jumps: a closed-form solution
2009 · 85 citations
CREDIT RISK MODELING USING TIME-CHANGED BROWNIAN MOTION
2009 · 49 citations
Works
9 shown
Contagion! Systemic Risk in Financial Networks
SpringerBriefs in quantitative finance
·
2016
·
1 author
·
book
94
citations
Portfolio Choice in Markets with Contagion
Journal of Financial Econometrics
·
2015
·
2 authors
88
citations
Systemic Risk in Banking Networks Without Monte Carlo Simulation
Mathematics in industry
·
2012
·
3 authors
·
chapter
35
citations
A Fourier Transform Method for Spread Option Pricing
SIAM Journal on Financial Mathematics
·
2010
·
2 authors
182
citations
CREDIT RISK MODELING USING TIME-CHANGED BROWNIAN MOTION
International Journal of Theoretical and Applied Finance
·
2009
·
1 author
49
citations
Portfolio choice with jumps: a closed-form solution
·
2009
·
3 authors
·
preprint
85
citations
Indifference Pricing and Hedging for Volatility Derivatives
Applied Mathematical Finance
·
2007
·
2 authors
29
citations
Affine Markov chain model of multifirm credit migration
The Journal of Credit Risk
·
2007
·
1 author
37
citations
Saddlepoint approximation method for pricing CDOs
The Journal of Computational Finance
·
2006
·
3 authors
43
citations