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HEAT KERNEL MODELS FOR ASSET PRICING
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HEAT KERNEL MODELS FOR ASSET PRICING (2014)HEAT KERNEL MODELS FOR ASSET PRICINGAsset Pricing and Portfolio Choice Theory (2017)Asset Pricing and Portfolio C…Lévy random bridges and the modelling of financial information (2010)Lévy random bridges and the m…Interest Rate Models An Introduction (2010)Interest Rate Models An Intro…Term-Structure Models: A Graduate Course (2009)Term-Structure Models: A Grad…Term-Structure Models (2009)Term-Structure ModelsINFORMATION-BASED ASSET PRICING (2008)INFORMATION-BASED ASSET PRICI…Interest rate models : theory and practice : with smile, inflation and credit (2006)Interest rate models : theory…Interest Rate Models (2004)Interest Rate ModelsChaos and coherence: a new framework for interest–rate modelling (2004)Chaos and coherence: a new fr…Arbitrage Theory in Continuous Time (2004)Arbitrage Theory in Continuou…A chaotic approach to interest rate modelling (2004)A chaotic approach to interes…Arbitrage Theory in Continuous Time (1998)Arbitrage Theory in Continuou…The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates (1997)The Potential Approach to the…Dynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…A decomposition theorem for supermartingales (1962)A decomposition theorem for s…The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)On modelling and pricing weather derivatives (2002)A numerical scheme for BSDEs (2004)Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality (2005)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)Martingales and stochastic integrals in the theory of continuous trading (1981)Stochastic Differential Equations and Diffusion Processes (1983)Modeling Term Structures of Defaultable Bonds (1999)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)The Investment CAPM (2017)Asset Growth, Profitability, and Investment Opportunities (2018)Expected return, volume, and mispricing (2021)Asset Pricing under the Quadratic Class (2002)Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies (2007)Dynamic Valuation Decomposition Within Stochastic Economies (2012)COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION (2009)Interest Rates and The Credit Crunch: New Formulas and Market Models (2009)ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS (2012)The Term Structure of Interbank Risk (2012)Density Approximations for Multivariate Affine Jump-Diffusion Processes (2016)Valuation and hedging of life insurance liabilities with systematic mortality risk (2006)Resource relatedness, redeployability, and firm value (2013)Affine processes on positive semidefinite matrices (2011)Numerical Solution of Stochastic Differential Equations (2016)
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References

  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 1998Arbitrage Theory in Continuous Time1,267 cited
  • 2004Arbitrage Theory in Continuous Time940 cited
  • 2006Interest rate models : theory and practice : with smile, inflation and credit737 cited
  • 2009Term-Structure Models300 cited
  • 1997The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates278 cited
  • 2017Asset Pricing and Portfolio Choice Theory229 cited
  • 2009Term-Structure Models: A Graduate Course221 cited
  • 2010Interest Rate Models An Introduction156 cited
  • 1962A decomposition theorem for supermartingales152 cited
  • 2004Interest Rate Models140 cited
  • 2004Chaos and coherence: a new framework for interest–rate modelling99 cited
  • 2008INFORMATION-BASED ASSET PRICING95 cited
  • 2004A chaotic approach to interest rate modelling89 cited
  • 2010Lévy random bridges and the modelling of financial information88 cited

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