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On the simulation of portfolios of interest rate and credit risk sensitive securities
16 references·0 citing·26 second hop
On the simulation of portfolios of interest rate and credit risk sensitive securities (2003)On the simulation of portfolios of intere…“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …Credit Risk: Modeling, Valuation and Hedging (2004)Credit Risk: Modeling, Valuat…Options, Futures and Other Derivatives (2003)Options, Futures and Other De…Explaining the Rate Spread on Corporate Bonds (2001)Explaining the Rate Spread on…A comparative anatomy of credit risk models (2000)A comparative anatomy of cred…Modeling Term Structures of Defaultable Bonds (1999)Modeling Term Structures of D…On cox processes and credit risky securities (1998)On cox processes and credit r…A Markov Model for the Term Structure of Credit Risk Spreads (1997)A Markov Model for the Term S…Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Pricing Derivatives on Financ…Pricing Interest-Rate-Derivative Securities (1990)Pricing Interest-Rate-Derivat…Parsimonious Modeling of Yield Curves (1987)Parsimonious Modeling of Yiel…Contingent Claims Analysis of Corporate Capital Structures: an Empirical Investigation (1984)Contingent Claims Analysis of…Point Processes and Queues (1981)Point Processes and QueuesON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)On the Pricing of Corporate D…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Forecasting the Term Structure of Government Bond Yields (2003)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)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)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)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)The cost of capital, corporation finance and the theory of investment (2008)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)Arbitrage Theory in Continuous Time (1998)A critical review on supply chain risk – Definition, measure and modeling (2014)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)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)The U.S. Treasury yield curve: 1961 to the present (2007)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 2003Options, Futures and Other Derivatives3,864 cited
  • 1987Parsimonious Modeling of Yield Curves2,918 cited
  • 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates2,752 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 1990Pricing Interest-Rate-Derivative Securities2,168 cited
  • 1995Pricing Derivatives on Financial Securities Subject to Credit Risk1,934 cited
  • 1981Point Processes and Queues1,652 cited
  • 2001Explaining the Rate Spread on Corporate Bonds1,580 cited
  • 1997A Markov Model for the Term Structure of Credit Risk Spreads1,476 cited
  • 1998On cox processes and credit risky securities1,213 cited
  • 2004Credit Risk: Modeling, Valuation and Hedging1,064 cited
  • 2000A comparative anatomy of credit risk models719 cited
  • 1984Contingent Claims Analysis of Corporate Capital Structures: an Empirical Investigation

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