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ON SURRENDER AND DEFAULT RISKS
16 references·1 citing·36 second hop
ON SURRENDER AND DEFAULT RISKS (2011)ON SURRENDER AND DEFAULT RISKSMathematical Methods for Financial Markets (2009)Mathematical Methods for Fina…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Credit Risk: Modeling, Valuation and Hedging (2004)Credit Risk: Modeling, Valuat…Limit Theorems for Stochastic Processes (2003)Limit Theorems for Stochastic…Credit Derivatives Pricing Models (2003)Credit Derivatives Pricing Mo…Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Valuing American Options by S…Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Term Structures of Credit Spr…Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed (2001)Fair Pricing of Life Insuranc…On Models of Default Risk (2000)On Models of Default RiskOn the Risk of Insurance Liabilities: Debunking Some Common Pitfalls (1997)On the Risk of Insurance Liab…Corporate Debt Value, Bond Covenants, and Optimal Capital Structure (1994)Corporate Debt Value, Bond Co…Theory of constant proportion portfolio insurance (1992)Theory of constant proportion…Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…Stochastic Differential Equations (1990)Stochastic Differential Equat…Prepayment and the Valuation of Mortgage-Backed Securities (1989)Prepayment and the Valuation …The pricing of equity-linked life insurance policies with an asset value guarantee (1976)The pricing of equity-linked …Variable Annuities in a Lévy-Based Hybrid Model With Surrender Risk (2019)Variable Annuities in a Lévy-…VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)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)Forecasting: theory and practice (2022)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory (1977)Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis (1978)Theory of rational option pricing (2005)An Engine, Not a Camera (2006)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The Determinants of Credit Spread Changes (2001)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Corporate financing and investment decisions when firms have information that investors do not have (1984)The theory and practice of corporate finance: evidence from the field (2001)Martingales and stochastic integrals in the theory of continuous trading (1981)Stochastic Differential Equations and Diffusion Processes (1983)A Theory of the Term Structure of Interest Rates (1985)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Microstructure noise in the continuous case: The pre-averaging approach (2008)Stochastic differential equations (2009)Tails, Fears, and Risk Premia (2011)Arbitrage Theory in Continuous Time (2004)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)Regression methods for pricing complex American-style options (2001)New frontiers for arch models (2002)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)A jump to default extended CEV model: an application of Bessel processes (2006)PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH (2008)Monte Carlo and Quasi-Monte Carlo Methods (2013)
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References

  • 2005Stochastic Integration and Differential Equations4,700 cited
  • 2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,228 cited
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1994Corporate Debt Value, Bond Covenants, and Optimal Capital Structure2,732 cited
  • 2003Limit Theorems for Stochastic Processes2,652 cited
  • 2001Term Structures of Credit Spreads with Incomplete Accounting Information1,321 cited
  • 2004Credit Risk: Modeling, Valuation and Hedging1,064 cited
  • 2003Credit Derivatives Pricing Models706 cited
  • 2009Mathematical Methods for Financial Markets638 cited
  • 1976The pricing of equity-linked life insurance policies with an asset value guarantee509 cited
  • 1989Prepayment and the Valuation of Mortgage-Backed Securities441 cited
  • 1992Theory of constant proportion portfolio insurance403 cited
  • 1990Stochastic Differential Equations331 cited
  • 2000On Models of Default Risk238 cited
  • 1997On the Risk of Insurance Liabilities: Debunking Some Common Pitfalls190 cited
  • 2001

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Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
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  • 2019Variable Annuities in a Lévy-Based Hybrid Model With Surrender Risk19 cited