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• 2006Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk344 cited
• 2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications183 cited
• 2009CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK169 cited
• 2004Option Pricing: Valuation Models and Applications164 cited
• 2010The Devil is in the Tails: Actuarial Mathematics and the Subprime Mortgage Crisis137 cited
• 2006Semi-Analytical Valuation of Basket Credit Derivatives in Intensity-Based Models112 cited
• 2010What happens after a default: The conditional density approach110 cited
• 2013Financial Asset Pricing Theory91 cited
• 2004Systematic Risk in Recovery Rates - an Empirical Analysis of U.S. Corporate Credit Exposures73 cited
• 2016Systematic Risk in Recovery Rates: An Empirical Analysis of Us Corporate Credit Exposures65 cited
• 2007Firm heterogeneity and credit risk diversification64 cited
• 2007Cdo Rating Methodology: Some Thoughts on Model Risk and its Implications57 cited
• 2004Rapid and accurate development of prices and Greeks for n th to default credit swaps in the Li model56 cited
• 2009Multiscale Intensity Models and Name Grouping for Valuation of Multi-Name Credit Derivatives