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Pricing bond options under a Markovian regime-switching Hull–White model
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Pricing bond options under a Markovian regime-switching Hull–White model (2012)Pricing bond options under a Markovian re…“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …Bond pricing under a Markovian regime-switching jump-augmented Vasicek model via stochastic flows (2010)Bond pricing under a Markovia…On Markov‐modulated Exponential‐affine Bond Price Formulae (2008)On Markov‐modulated Exponenti…Regime Shifts in a Dynamic Term Structure Model of U.S. Treasury Bond Yields (2007)Regime Shifts in a Dynamic Te…Hidden Markov Models in Finance (2007)Hidden Markov Models in Finan…Options, Futures and Other Derivatives (2003)Options, Futures and Other De…Term Structure of Interest Rates with Regime Shifts (2002)Term Structure of Interest Ra…International Asset Allocation With Regime Shifts (2002)International Asset Allocatio…Stochastic Processes for Insurance and Finance (2001)Stochastic Processes for Insu…Stochastic Processes for Insurance and Finance (2000)Stochastic Processes for Insu…Option valuation using the fast Fourier transform (1999)Option valuation using the fa…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…Pricing Interest-Rate-Derivative Securities (1990)Pricing Interest-Rate-Derivat…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…The Pricing of Options and Corporate Liabilities (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Stochastic Volatility for Lévy Processes (2003)Theory of Rational Option Pricing (1973)Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Forecasting the Term Structure of Government Bond Yields (2003)Optimum consumption and portfolio rules in a continuous-time model (1971)A New Approach to Measuring Financial Contagion (2003)Market Integration and Contagion (2005)How Sovereign Is Sovereign Credit Risk? (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)ARCH modeling in finance (1992)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)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)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)Optimal Proportional Reinsurance Policies in a Dynamic Setting (2001)On minimizing the ruin probability by investment and reinsurance (2002)On the optimal dividend problem for a spectrally negative Lévy process (2007)Modeling Term Structures of Defaultable Bonds (1999)Prospect Theory and Asset Prices (2001)
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References

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  • 2016“Options, Futures, and Other Derivatives”5,007 cited
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  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 1990Pricing Interest-Rate-Derivative Securities2,168 cited
  • 1999Option valuation using the fast Fourier transform2,155 cited
  • 2002International Asset Allocation With Regime Shifts1,779 cited
  • 2001Stochastic Processes for Insurance and Finance839 cited
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  • 2007Hidden Markov Models in Finance138 cited
  • 2008On Markov‐modulated Exponential‐affine Bond Price Formulae66 cited
  • 2010Bond pricing under a Markovian regime-switching jump-augmented Vasicek model via stochastic flows

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