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Utility valuation of multi-name credit derivatives and application to CDOs
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Utility valuation of multi-name credit derivatives and application to CDOs (2009)Utility valuation of multi-name credit de…Basket default swaps, CDOs and factor copulas (2005)Basket default swaps, CDOs an…Valuation of a CDO and an n -th to Default CDS Without Monte Carlo Simulation (2004)Valuation of a CDO and an n -…Credit Derivatives Pricing Models (2003)Credit Derivatives Pricing Mo…Utility maximization in incomplete markets with random endowment (2001)Utility maximization in incom…Risk and Valuation of Collateralized Debt Obligations (2001)Risk and Valuation of Collate…Infectious defaults (2001)Infectious defaultsThe asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)The asymptotic elasticity of …Pricing the risks of default (1998)Pricing the risks of defaultOn cox processes and credit risky securities (1998)On cox processes and credit r…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Pricing Derivatives on Financ…European Option Pricing with Transaction Costs (1993)European Option Pricing with …Optimal replication of contingent claims under transaction costs (1989)Optimal replication of contin…An introduction to mathematical risk theory (1979)An introduction to mathematic…Mathematical Methods in Risk Theory. (1971)Mathematical Methods in Risk …Mathematical Methods in Risk Theory (1970)Mathematical Methods in Risk …Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)Exponential Hedging and Entropic Penalties (2002)Arbitrage Theory in Continuous Time (2004)Utility maximization in incomplete markets (2005)Brownian Motion and Stochastic Calculus (2007)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)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)The Determinants of Credit Spread Changes (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)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)Credit Risk: Modeling, Valuation and Hedging (2004)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)Modeling Term Structures of Defaultable Bonds (1999)An Empirical Analysis of the Pricing of Collateralized Debt Obligations (2008)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Systemic Risk Contributions (2011)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)A Theory of the Term Structure of Interest Rates (1985)Credit Risk Modeling (2004)Economic Catastrophe Bonds (2008)Did Subjectivity Play a Role in CDO Credit Ratings? (2011)Option pricing by Esscher transforms. (1995)Premium Calculation by Transforming the Layer Premium Density (1996)On the Time Value of Ruin (1998)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)Estimates for the probability of ruin with special emphasis on the possibility of large claims (1982)Controlled diffusion models for optimal dividend pay-out (1997)Inf-convolution of risk measures and optimal risk transfer (2005)Option Replication in Discrete Time with Transaction Costs (1992)Optimal Investment and Consumption with Transaction Costs (1994)AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT (2007)
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References

  • 1998Methods of Mathematical Finance1,939 cited
  • 1995Pricing Derivatives on Financial Securities Subject to Credit Risk1,934 cited
  • 1998On cox processes and credit risky securities1,213 cited
  • 1999The asymptotic elasticity of utility functions and optimal investment in incomplete markets948 cited
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  • 2001Risk and Valuation of Collateralized Debt Obligations599 cited
  • 2004Valuation of a CDO and an n -th to Default CDS Without Monte Carlo Simulation497 cited
  • 1971Mathematical Methods in Risk Theory.494 cited
  • 1993European Option Pricing with Transaction Costs474 cited
  • 1998Pricing the risks of default469 cited
  • 2003Credit Derivatives Pricing Models366 cited
  • 2005Basket default swaps, CDOs and factor copulas260 cited
  • 2001Utility maximization in incomplete markets with random endowment229 cited
  • 2001Infectious defaults

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