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Pricing Multiname Credit Derivatives: Heavy Tailed Hybrid Approach
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Pricing Multiname Credit Derivatives: Heavy Tailed Hybrid Approach (2002)Pricing Multiname Credit Derivatives: Hea…Modelling Dependence with Copulas and Applications to Risk Management (2003)Modelling Dependence with Cop…Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Correlation and Dependence in…On Default Correlation (2000)On Default CorrelationModeling Term Structures of Defaultable Bonds (1999)Modeling Term Structures of D…An Introduction to Copulas (1999)An Introduction to CopulasOn cox processes and credit risky securities (1998)On cox processes and credit r…A Markov Model for the Term Structure of Credit Risk Spreads (1997)A Markov Model for the Term S…Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads (1996)Optimal Capital Structure, En…Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Pricing Derivatives on Financ…A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)A Simple Approach to Valuing …Corporate Debt Value, Bond Covenants, and Optimal Capital Structure (1994)Corporate Debt Value, Bond Co…Dynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)VALUING CORPORATE SECURITIES:…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices (1974)A Comparison of the Stable an…The Distribution of Share Price Changes (1972)The Distribution of Share Pri…Coherent Measures of Risk (1999)The distribution of realized stock return volatility (2001)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Pair-copula constructions of multiple dependence (2007)The Econometrics of Financial Markets (2012)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The Determinants of Credit Spread Changes (2001)A Theory of the Term Structure of Interest Rates (1985)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Default Risk in Equity Returns (2004)Option pricing when underlying stock returns are discontinuous (1976)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Prospect theory: An analysis of decision under risk (1988)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Introductory Econometrics for Finance (2008)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)The theory and practice of corporate finance: evidence from the field (2001)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)Corporate financing and investment decisions when firms have information that investors do not have (1984)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)
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References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1999An Introduction to Copulas7,743 cited
  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 1994Corporate Debt Value, Bond Covenants, and Optimal Capital Structure2,732 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS2,383 cited
  • 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt2,090 cited
  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
  • 1996Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads1,962 cited
  • 1995Pricing Derivatives on Financial Securities Subject to Credit Risk1,934 cited
  • 1997A Markov Model for the Term Structure of Credit Risk Spreads1,476 cited
  • 2000On Default Correlation1,257 cited
  • 1998On cox processes and credit risky securities1,213 cited
  • 2003Modelling Dependence with Copulas and Applications to Risk Management1,056 cited
  • 1974A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices903 cited

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  • 1972The Distribution of Share Price Changes533 cited
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