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Convertible Bonds in a Defaultable Diffusion Model
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Convertible Bonds in a Defaultable Diffusion Model (2011)Convertible Bonds in a Defaultable Diffus…Controlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…Backward stochastic differential equations and quasilinear parabolic partial differential equations (2005)Backward stochastic different…Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Discrete-time approximation a…Credit Risk: Modeling, Valuation and Hedging (2004)Credit Risk: Modeling, Valuat…Credit Risk Modeling (2004)Credit Risk ModelingLimit Theorems for Stochastic Processes (2003)Limit Theorems for Stochastic…Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Valuing American Options by S…Regression methods for pricing complex American-style options (2001)Regression methods for pricin…Modeling Term Structures of Defaultable Bonds (1999)Modeling Term Structures of D…The fundamental theorem of asset pricing for unbounded stochastic processes (1998)The fundamental theorem of as…Arbitrage Theory in Continuous Time (1998)Arbitrage Theory in Continuou…Reflected solutions of backward SDE's, and related obstacle problems for PDE's (1997)Reflected solutions of backwa…Backward Stochastic Differential Equations in Finance (1997)Backward Stochastic Different…Backward stochastic differential equations with reflection and Dynkin games (1996)Backward stochastic different…Analyzing Convertible Bonds (1980)Analyzing Convertible BondsCONVERTIBLE BONDS: VALUATION AND OPTIMAL STRATEGIES FOR CALL AND CONVERSION (1977)CONVERTIBLE BONDS: VALUATION …The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)On modelling and pricing weather derivatives (2002)A numerical scheme for BSDEs (2004)Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality (2005)VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)Corporate Debt Value, Bond Covenants, and Optimal Capital Structure (1994)Quantitative models for operational risk: Extremes, dependence and aggregation (2006)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Structural versus Reduced‐Form Models: A New Information‐Based Perspective (2012)Stochastic Differential Equations and Diffusion Processes (1983)Martingale Methods in Financial Modelling (1997)Brownian Motion and Stochastic Calculus (2007)Mean field games (2007)Brownian Motion and Stochastic Calculus (1988)Adapted solution of a backward stochastic differential equation (1990)Solving forward-backward stochastic differential equations explicitly — a four step scheme (1994)Backward stochastic differential equations and partial differential equations with quadratic growth (2000)Continuous Martingales and Brownian Motion (1999)Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob–Meyers type (1999)Stochastic Differential Equations (2014)Martingales and arbitrage in multiperiod securities markets (1979)Martingales and stochastic integrals in the theory of continuous trading (1981)LIBOR and swap market models and measures (1997)A Benchmark Approach to Quantitative Finance (2006)MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS (2006)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Theory of Rational Option Pricing (1973)New frontiers for arch models (2002)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Theory of rational option pricing (2005)The Determinants of Credit Spread Changes (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Default Risk in Equity Returns (2004)Partial Differential Equations (2010)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Microstructure noise in the continuous case: The pre-averaging approach (2008)Tails, Fears, and Risk Premia (2011)
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References

  • 2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,218 cited
  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 2003Limit Theorems for Stochastic Processes2,529 cited
  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
  • 1998Arbitrage Theory in Continuous Time1,267 cited
  • 2004Credit Risk: Modeling, Valuation and Hedging1,064 cited
  • 2005Backward stochastic differential equations and quasilinear parabolic partial differential equations782 cited
  • 1998The fundamental theorem of asset pricing for unbounded stochastic processes710 cited
  • 1997Reflected solutions of backward SDE's, and related obstacle problems for PDE's704 cited
  • 2001Regression methods for pricing complex American-style options612 cited
  • 1980Analyzing Convertible Bonds568 cited
  • 2004Credit Risk Modeling530 cited
  • 2004Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations518 cited
  • 1977CONVERTIBLE BONDS: VALUATION AND OPTIMAL STRATEGIES FOR CALL AND CONVERSION473 cited

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  • 1996Backward stochastic differential equations with reflection and Dynkin games321 cited
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