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Applications of Gram–Charlier expansion and bond moments for pricing of interest rates and credit risk
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Applications of Gram–Charlier expansion and bond moments for pricing of interest rates and credit risk (2010)Applications of Gram–Charlier expansion a…Interest Rate Models An Introduction (2010)Interest Rate Models An Intro…PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS (2006)PRICING SWAPTIONS AND COUPON …Interest Rate Models (2004)Interest Rate ModelsFinancial Derivatives in Theory and Practice (2004)Financial Derivatives in Theo…A General Formula for Valuing Defaultable Securities (2004)A General Formula for Valuing…Quadratic Term Structure Models: Theory and Evidence (2002)Quadratic Term Structure Mode…Pricing Swaptions Within an Affine Framework (2002)Pricing Swaptions Within an A…PRICING COUPON‐BOND OPTIONS AND SWAPTIONS IN AFFINE TERM STRUCTURE MODELS (2002)PRICING COUPON‐BOND OPTIONS A…A deterministic–shift extension of analytically–tractable and time–homogeneous short–rate models (2001)A deterministic–shift extensi…A Libor Market Model with Default Risk (2000)A Libor Market Model with Def…Stochastic duration and fast coupon bond option pricing in multi-factor models (1999)Stochastic duration and fast …Modeling Term Structures of Defaultable Bonds (1999)Modeling Term Structures of D…LIBOR and swap market models and measures (1997)LIBOR and swap market models …Swap Rates and Credit Quality (1996)Swap Rates and Credit QualityA YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…The Pricing of Options and Corporate Liabilities (1973)Pricing American-style securities using simulation (1997)Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)Theory of rational option pricing (2005)Moment explosions in stochastic volatility models (2006)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)The Determinants of Credit Spread Changes (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Default Risk in Equity Returns (2004)An equilibrium characterization of the term structure (1977)Prospect Theory and Asset Prices (2001)Forecasting the Term Structure of Government Bond Yields (2003)Asset Prices in an Exchange Economy (1978)Martingales and arbitrage in multiperiod securities markets (1979)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION (2009)CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK (2009)Is Credit Event Risk Priced? Modeling Contagion via the Updating of Beliefs. (2010)Modeling Sovereign Yield Spreads: A Case Study of Russian Debt (2003)An Empirical Analysis of the Dynamic Relationship between Investment Grade Bonds and Credit Default Swaps (2004)Stochastic Integration and Differential Equations (2005)Affine Term Structure Models (2010)Martingales and stochastic integrals in the theory of continuous trading (1981)Stochastic Differential Equations and Diffusion Processes (1983)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Term Structure of Interest Rates with Regime Shifts (2002)The Statistical and Economic Role of Jumps in Continuous‐Time Interest Rate Models (2004)Brownian Motion and Stochastic Calculus (2007)The affine arbitrage-free class of Nelson–Siegel term structure models (2011)Can Cheap Credit Explain the Housing Boom? (2010)A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients (2011)Linear‐Rational Term Structure Models (2016)Interest Rates and Information Geometry (2001)Chaos and coherence: a new framework for interest–rate modelling (2004)Derivatives (2004)Dynamic Programming Models and Algorithms for the Mutual Fund Cash Balance Problem (2010)A Computationally Efficient Algorithm for Estimating the Distribution of Future Annuity Values Under Interest-Rate and Longevity Risks (2011)A General Framework for Time-Changed Markov Processes and Applications (2018)
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References

  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 1997LIBOR and swap market models and measures746 cited
  • 1996Swap Rates and Credit Quality480 cited
  • 2002Quadratic Term Structure Models: Theory and Evidence469 cited
  • 2004Financial Derivatives in Theory and Practice425 cited
  • 2004A General Formula for Valuing Defaultable Securities181 cited
  • 2010Interest Rate Models An Introduction156 cited
  • 2004Interest Rate Models140 cited
  • 2002PRICING COUPON‐BOND OPTIONS AND SWAPTIONS IN AFFINE TERM STRUCTURE MODELS108 cited
  • 2001A deterministic–shift extension of analytically–tractable and time–homogeneous short–rate models90 cited
  • 2006PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS81 cited
  • 1999Stochastic duration and fast coupon bond option pricing in multi-factor models80 cited
  • 2002Pricing Swaptions Within an Affine Framework75 cited
  • 2000

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A Libor Market Model with Default Risk
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