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Pricing catastrophe swaps: A contingent claims approach
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Pricing catastrophe swaps: A contingent claims approach (2011)Pricing catastrophe swaps: A contingent c…“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …Convergence of Insurance and Financial Markets: Hybrid and Securitized Risk‐Transfer Solutions (2009)Convergence of Insurance and …Options, futures and other derivatives (2008)Options, futures and other de…Theory of rational option pricing (2005)Theory of rational option pri…Pricing default swaps: Empirical evidence (2005)Pricing default swaps: Empiri…First passage times of a jump diffusion process (2003)First passage times of a jump…Counterparty Risk and the Pricing of Defaultable Securities (2001)Counterparty Risk and the Pri…A Class of Distortion Operators for Pricing Financial and Insurance Risks (2000)A Class of Distortion Operato…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …An equilibrium characterization of the term structure (1977)An equilibrium characterizati…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…An Index of Factorial Simplicity (1974)An Index of Factorial Simplic…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)An Intertemporal Capital Asset Pricing Model (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Optimum consumption and portfolio rules in a continuous-time model (1971)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Dynamic Asset Pricing Theory. (1993)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)Option pricing: A simplified approach (1979)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Little Jiffy, Mark Iv (1974)Development and validation of a scale for measuring state self-esteem. (1991)Exploratory Factor Analysis: A Guide to Best Practice (2018)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)Investor Psychology and Security Market Under‐ and Overreactions (1998)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1974An Index of Factorial Simplicity14,857 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 2001Counterparty Risk and the Pricing of Defaultable Securities662 cited
  • 2000A Class of Distortion Operators for Pricing Financial and Insurance Risks650 cited
  • 2008Options, futures and other derivatives646 cited
  • 2003First passage times of a jump diffusion process435 cited
  • 2009Convergence of Insurance and Financial Markets: Hybrid and Securitized Risk‐Transfer Solutions298 cited
  • 2005

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Pricing default swaps: Empirical evidence
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