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The pricing of credit default swaps under a generalized mixed fractional Brownian motion
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The pricing of credit default swaps under a generalized mixed fractional Brownian motion (2014)The pricing of credit default swaps under…Time-varying Hurst exponent for US stock markets (2008)Time-varying Hurst exponent f…Stochastic Calculus for Fractional Brownian Motion and Applications (2008)Stochastic Calculus for Fract…A note on Wick products and the fractional Black-Scholes model (2005)A note on Wick products and t…Arbitrage in fractional Brownian motion models (2003)Arbitrage in fractional Brown…A General Fractional White Noise Theory And Applications To Finance (2003)A General Fractional White No…Mixed Fractional Brownian Motion (2001)Mixed Fractional Brownian Mot…Stochastic Calculus for Fractional Brownian Motion I. Theory (2000)Stochastic Calculus for Fract…Stock market prices and long-range dependence (1999)Stock market prices and long-…Pricing the risks of default (1998)Pricing the risks of defaultAn Econometric Model of the Term Structure of Interest-Rate Swap Yields (1997)An Econometric Model of the T…Stochastic analysis of fractional brownian motions (1995)Stochastic analysis of fracti…Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Pricing Derivatives on Financ…The Pricing of Risky Debt When Interest Rates are Stochastic (1993)The Pricing of Risky Debt Whe…Chaos and Nonlinear Dynamics: Application to Financial Markets (1991)Chaos and Nonlinear Dynamics:…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…When Can Price be Arbitraged Efficiently? A Limit to the Validity of the Random Walk and Martingale Models (1971)When Can Price be Arbitraged …Pricing Asian options under the mixed fractional Brownian motion with jumps (2024)Pricing Asian options under t…Pricing geometric Asian rainbow options under the mixed fractional Brownian motion (2020)Pricing geometric Asian rainb…Arbitrage with fractional Gaussian processes (2016)Arbitrage with fractional Gau…Théorie de la spéculation (1900)The Behavior of Stock-Market Prices (1965)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Long-term dependence in common stock returns (1977)Statistical Methods for Data with Long-Range Dependence (1992)The Hurst exponent over time: testing the assertion that emerging markets are becoming more efficient (2004)Fractional Brownian Motions, Fractional Noises and Applications (1968)The Pricing of Options and Corporate Liabilities (1973)On bifractional Brownian motion (2005)Stochastic Integration and Differential Equations (2005)Some properties of the sub-fractional Brownian motion (2006)A Theory of the Term Structure of Interest Rates (1985)Swap Rates and Credit Quality (1996)Term Structure Dynamics in Theory and Reality (2003)Macroeconomic Dynamics and Credit Risk: A Global Perspective (2006)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)Modeling Term Structures of Defaultable Bonds (1999)The Determinants of Credit Spread Changes (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The valuation of options for alternative stochastic processes (1976)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Bayesian Analysis of Stochastic Volatility Models (1994)Parametric and Nonparametric Volatility Measurement (2010)Does realized skewness predict the cross-section of equity returns? (2015)The Random Character of Stock Market Prices (1968)The variation of certain speculative prices (1997)Integration questions related to fractional Brownian motion (2000)Stochastic Calculus with Respect to Gaussian Processes (2001)FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE (2003)An equilibrium characterization of the term structure (1977)Estimating the Price of Default Risk (1999)Affine Term Structure Models and the Forward Premium Anomaly (2001)Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads (2008)Wiener Integrals with Respect to the Hermite Process and a Non-Central Limit Theorem (2007)Parameter estimation for fractional Ornstein–Uhlenbeck processes (2010)A note on the use of fractional Brownian motion for financial modeling (2012)The Long Memory of the Efficient Market (2004)Volatility Clustering in Financial Markets: Empirical Facts and Agent-Based Models (2006)Some comments on Hurst exponent and the long memory processes on capital markets (2008)
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References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1995Pricing Derivatives on Financial Securities Subject to Credit Risk1,934 cited
  • 2008Stochastic Calculus for Fractional Brownian Motion and Applications1,065 cited
  • 1991Chaos and Nonlinear Dynamics: Application to Financial Markets1,046 cited
  • 1997An Econometric Model of the Term Structure of Interest-Rate Swap Yields793 cited
  • 2000Stochastic Calculus for Fractional Brownian Motion I. Theory571 cited
  • 1971When Can Price be Arbitraged Efficiently? A Limit to the Validity of the Random Walk and Martingale Models482 cited
  • 1998Pricing the risks of default469 cited
  • 2001Mixed Fractional Brownian Motion387 cited
  • 1999Stock market prices and long-range dependence374 cited
  • 2003Arbitrage in fractional Brownian motion models332 cited
  • 2003A General Fractional White Noise Theory And Applications To Finance301 cited
  • 2008Time-varying Hurst exponent for US stock markets219 cited
  • 2005A note on Wick products and the fractional Black-Scholes model207 cited
  • 1995Stochastic analysis of fractional brownian motions207 cited

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  • 1993The Pricing of Risky Debt When Interest Rates are Stochastic191 cited
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    • 2016Arbitrage with fractional Gaussian processes28 cited
    • 2020Pricing geometric Asian rainbow options under the mixed fractional Brownian motion27 cited
    • 2024Pricing Asian options under the mixed fractional Brownian motion with jumps24 cited