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Immersion Property and Credit Risk Modelling
16 references·3 citing·30 second hop
Immersion Property and Credit Risk Modelling (2009)Immersion Property and Credit Risk Modell…A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)A General Version of the Fund…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Credit Risk: Modeling, Valuation and Hedging (2004)Credit Risk: Modeling, Valuat…Limit Theorems for Stochastic Processes (2003)Limit Theorems for Stochastic…On Models of Default Risk (2000)On Models of Default RiskContinuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market (1995)Dynamic Programming and Prici…A general version of the fundamental theorem of asset pricing (1994)A general version of the fund…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Stochastic Integration and Differential Equations (1990)Stochastic Integration and Di…Calcul Stochastique et Problèmes de Martingales (1979)Calcul Stochastique et Problè…Valuing Corporate Securities: Some Effects of Bond Indenture Provisions (1976)Valuing Corporate Securities:…VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)VALUING CORPORATE SECURITIES:…ON 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…On Square Integrable Martingales (1967)On Square Integrable Martinga…Martingale representation property in progressively enlarged filtrations (2015)Martingale representation pro…Local Risk-Minimization for Defaultable Claims with Recovery Process (2011)Local Risk-Minimization for D…Carthaginian enlargement of filtrations (2011)Carthaginian enlargement of f…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)The Determinants of Credit Spread Changes (2001)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)The Cross‐Section of Volatility and Expected Returns (2006)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Arbitrage Theory in Continuous Time (2004)Theory of rational option pricing (2005)Brownian Motion and Stochastic Calculus (2007)Tails, Fears, and Risk Premia (2011)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing when underlying stock returns are discontinuous (1976)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)Martingales and arbitrage in multiperiod securities markets (1979)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)Arbitrage Theory in Continuous Time (1998)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Over-the-Counter Markets (2004)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Microstructure noise in the continuous case: The pre-averaging approach (2008)
this work references cited by second hop

References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates2,752 cited
  • 2003Limit Theorems for Stochastic Processes2,529 cited
  • 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS2,383 cited
  • 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1,568 cited
  • 1994A general version of the fundamental theorem of asset pricing1,447 cited
  • 1990Stochastic Integration and Differential Equations1,195 cited
  • 1979Calcul Stochastique et Problèmes de Martingales1,161 cited
  • 2004Credit Risk: Modeling, Valuation and Hedging1,064 cited
  • 1995Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market649 cited
  • 1967On Square Integrable Martingales617 cited
  • 1976Valuing Corporate Securities: Some Effects of Bond Indenture Provisions461 cited

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  • 2000On Models of Default Risk238 cited
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    • 2015Martingale representation property in progressively enlarged filtrations43 cited
    • 2011Carthaginian enlargement of filtrations36 cited
    • 2011Local Risk-Minimization for Defaultable Claims with Recovery Process27 cited