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A Cox process with log-normal intensity
5 references·0 citing·19 second hop
A Cox process with log-normal intensity (2002)A Cox process with log-normal intensityPricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity (2003)Pricing of catastrophe reinsu…On cox processes and credit risky securities (1998)On cox processes and credit r…The value of an Asian option (1995)The value of an Asian optionPoint Processes and Queues: Martingale Dynamics. (1983)Point Processes and Queues: M…Point Processes and Queues (1981)Point Processes and QueuesThe valuation of options for alternative stochastic processes (1976)Martingales and arbitrage in multiperiod securities markets (1979)Stochastic Differential Equations (2003)Catastrophe options with stochastic interest rates and compound Poisson losses (2006)Ruin probabilities and aggregrate claims distributions for shot noise Cox processes (2006)A dynamic contagion process (2011)Theory of Financial Decision Making. (1988)A pricing method for options based on average asset values (1990)BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES (1993)The concept of comonotonicity in actuarial science and finance: applications (2002)Pricing and Hedging Spread Options (2003)Partial Differential Equations (2010)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Brownian Motion and Stochastic Calculus (2007)Modeling Term Structures of Defaultable Bonds (1999)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)
this work references cited by second hop

References

  • 1981Point Processes and Queues1,652 cited
  • 1998On cox processes and credit risky securities1,213 cited
  • 1983Point Processes and Queues: Martingale Dynamics.1,065 cited
  • 1995The value of an Asian option532 cited
  • 2003Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity198 cited

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