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Paris-Princeton Lectures on Mathematical Finance 2010
16 references·16 citing·37 second hopsampled
Paris-Princeton Lectures on Mathematical Finance 2010 (2010)Paris-Princeton Lectures on Mathematical …Forward-Backward Stochastic Differential Equations and their Applications (2007)Forward-Backward Stochastic D…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Credit Risk: Modeling, Valuation and Hedging (2004)Credit Risk: Modeling, Valuat…Credit Risk : Pricing, Measurement, and Management (2003)Credit Risk : Pricing, Measur…Counterparty Risk and the Pricing of Defaultable Securities (2001)Counterparty Risk and the Pri…Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Continuous-Time Mean-Variance…Backward stochastic differential equations and partial differential equations with quadratic growth (2000)Backward stochastic different…Stochastic controls : Hamiltonian systems and HJB equations (1999)Stochastic controls : Hamilto…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…Backward Stochastic Differential Equations in Finance (1997)Backward Stochastic Different…Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market (1995)Dynamic Programming and Prici…Dynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…Irreducible convex paving for decomposition of multidimensional martingale transport plans (2019)Irreducible convex paving for…Mean field production output control with sticky prices: Nash and social solutions (2018)Mean field production output …Optimal stopping in mean field games, an obstacle problem approach (2017)Optimal stopping in mean fiel…Mean field games via controlled martingale problems: Existence of Markovian equilibria (2015)Mean field games via controll…Martingale optimal transport in the Skorokhod space (2015)Martingale optimal transport …Existence of a solution to an equation arising from the theory of Mean Field Games (2015)Existence of a solution to an…Superreplication under model uncertainty in discrete time (2014)Superreplication under model …The Derivation of Ergodic Mean Field Game Equations for Several Populations of Players (2013)The Derivation of Ergodic Mea…Shifting martingale measures and the birth of a bubble as a submartingale (2013)Shifting martingale measures …On the Rate of Convergence for the Mean-Field Approximation of Controlled Diffusions with Large Number of Players (2013)On the Rate of Convergence fo…On the Planning Problem for the Mean Field Games System (2013)On the Planning Problem for t…Finite Difference Methods for Mean Field Games (2013)Finite Difference Methods for…Continuous Time Finite State Mean Field Games (2013)Continuous Time Finite State …Small-Time Asymptotics of Option Prices and First Absolute Moments (2011)Small-Time Asymptotics of Opt…ROBUST BOUNDS FOR FORWARD START OPTIONS (2010)ROBUST BOUNDS FOR FORWARD STA…Finite utility on financial markets with asymmetric information and structure properties of the price dynamics☆ (2005)Finite utility on financial m…VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)Corporate Debt Value, Bond Covenants, and Optimal Capital Structure (1994)Modeling Term Structures of Defaultable Bonds (1999)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)Modelling Extremal Events (1997)Term Structure Dynamics in Theory and Reality (2003)Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach (2003)Financial distress and corporate risk management: Theory and evidence (2008)Numerical solution of stochastic differential equations (2016)The Pricing of Options and Corporate Liabilities (1973)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Affine processes and applications in finance (2003)A Theory of the Term Structure of Interest Rates (1985)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)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)Reflected solutions of backward SDE's, and related obstacle problems for PDE's (1997)Theory of rational option pricing (2005)Partial Differential Equations (2010)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)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)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)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)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
  • 1998Methods of Mathematical Finance1,939 cited
  • 1999Stochastic controls : Hamiltonian systems and HJB equations1,780 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
  • 2000Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework1,009 cited
  • 2000Backward stochastic differential equations and partial differential equations with quadratic growth763 cited
  • 2007Forward-Backward Stochastic Differential Equations and their Applications675 cited
  • 2001Counterparty Risk and the Pricing of Defaultable Securities662 cited
  • 1995Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market649 cited

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2003
Credit Risk : Pricing, Measurement, and Management
587 cited

Cited by

  • 2010ROBUST BOUNDS FOR FORWARD START OPTIONS146 cited
  • 2013Continuous Time Finite State Mean Field Games136 cited
  • 2015Mean field games via controlled martingale problems: Existence of Markovian equilibria128 cited
  • 2015Existence of a solution to an equation arising from the theory of Mean Field Games102 cited
  • 2013On the Planning Problem for the Mean Field Games System78 cited
  • 2013The Derivation of Ergodic Mean Field Game Equations for Several Populations of Players77 cited
  • 2013Finite Difference Methods for Mean Field Games60 cited
  • 2011Small-Time Asymptotics of Option Prices and First Absolute Moments56 cited
  • 2015Martingale optimal transport in the Skorokhod space53 cited
  • 2018Mean field production output control with sticky prices: Nash and social solutions52 cited
  • 2017Optimal stopping in mean field games, an obstacle problem approach50 cited
  • 2013On the Rate of Convergence for the Mean-Field Approximation of Controlled Diffusions with Large Number of Players46 cited
  • 2013Shifting martingale measures and the birth of a bubble as a submartingale42 cited
  • 2019Irreducible convex paving for decomposition of multidimensional martingale transport plans42 cited
  • 2005Finite utility on financial markets with asymmetric information and structure properties of the price dynamics☆41 cited
  • 2014Superreplication under model uncertainty in discrete time39 cited