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An Information-Based Framework for Asset Pricing: X-Factor Theory and its Applications
16 references·0 citing·34 second hop
An Information-Based Framework for Asset Pricing: X-Factor Theory and its Applications (2008)An Information-Based Framework for Asset …Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Credit Risk: Modeling, Valuation and Hedging (2004)Credit Risk: Modeling, Valuat…Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Term Structures of Credit Spr…Counterparty Risk and the Pricing of Defaultable Securities (2001)Counterparty Risk and the Pri…On cox processes and credit risky securities (1998)On cox processes and credit r…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Martingale Methods in Financial Modelling (1997)Martingale Methods in Financi…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…Market microstructure theory (1995)Market microstructure theoryChanges of numéraire, changes of probability measure and option pricing (1995)Changes of numéraire, changes…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Term Structure Movements and Pricing Interest Rate Contingent Claims (1986)Term Structure Movements and …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…Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model (1992)Arbitrage Theory in Continuous Time (1998)Arbitrage Theory in Continuous Time (2004)Theory of rational option pricing (2005)The Pricing of Options and Corporate Liabilities (1973)The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)The Determinants of Credit Spread Changes (2001)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)Modeling Term Structures of Defaultable Bonds (1999)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)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)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)Structural Models of Corporate Bond Pricing: An Empirical Analysis (2004)Corporate bond liquidity before and after the onset of the subprime crisis (2011)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)Explaining the Rate Spread on Corporate Bonds (2001)
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References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS2,383 cited
  • 1996Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads1,962 cited
  • 1998Methods of Mathematical Finance1,939 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
  • 1986Term Structure Movements and Pricing Interest Rate Contingent Claims1,398 cited
  • 2001Term Structures of Credit Spreads with Incomplete Accounting Information1,321 cited
  • 1995Market microstructure theory1,305 cited
  • 1998On cox processes and credit risky securities1,213 cited
  • 1997Martingale Methods in Financial Modelling1,085 cited
  • 2004Credit Risk: Modeling, Valuation and Hedging1,064 cited
  • 1995Changes of numéraire, changes of probability measure and option pricing

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808 cited
  • 2001Counterparty Risk and the Pricing of Defaultable Securities662 cited
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